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Investors' Climate Sentiment and Financial Markets
Santi, Caterina - 2021
We propose a measure of investors' climate sentiment by performing sentiment analysis on StockTwits posts on climate change and global warming. We find that when investors' climate sentiment is high, emission stocks are relatively overpriced. Moreover, we show that an increase in carbon prices...
Persistent link: https://www.econbiz.de/10013242744
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Forward Return Expectations
Gandhi, Mihir; Gormsen, Niels; Lazarus, Eben - National Bureau of Economic Research - 2023
We measure investors' short- and long-term stock-return expectations using both options and survey data. These expectations at different horizons reveal what investors think their own short-term expectations will be in the future, or forward return expectations. While contemporaneous short-term...
Persistent link: https://www.econbiz.de/10014372444
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Momentum and Reversion in Risk Neutral Martingale Probabilities
Madan, Dilip B. - 2014
A time homogeneous, purely discontinuous, parsimonous Markov martingale model is proposed for the risk neutral dynamics … additionally reported. It is observed that risk neutral dynamics by and large reflect the presence of momentum in numerous … probabilities. However, there is some reversion in the upper quantiles of risk neutral return distributions …
Persistent link: https://www.econbiz.de/10013064149
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Preference evolution and the dynamics of capital markets
Curatola, Giuliano - 2016
This paper introduces endogenous preference evolution into a Lucas-type economy and explores its consequences for investors' trading strategy and the dynamics of asset prices. In equilibrium, investors herd and hold the same portfolio of risky assets which is biased toward stocks of sectors that...
Persistent link: https://www.econbiz.de/10011440209
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The influence of heterogeneous preferences on asset prices in an incomplete market model
Niehaus, Frank - 2001
risk averse agents buy the bond and sell the share and the option, whereas the less risk averse agents buy the option and …
Persistent link: https://www.econbiz.de/10011526229
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Fund flows inducing mispricing of risk in competitive financial markets
Stahmer, Axel - 2015
This paper studies the effect of new fund flows on investment behavior and the resulting equilibrium price of risk. The … opportunities. The Large Fund Industry model derives market prices for risk and analyzes the resulting price distortions in … equilibrium. New flow of funds to the asset management industry lead to inefficient investment decisions, mispricing of risk, and …
Persistent link: https://www.econbiz.de/10011389297
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Fundamentals unknown : momentum, mean-reversion and price-to-earnings trading in an artificial stock market
Schasfoort, Joeri; Stockermans, Christopher - 2017
The use of fundamentalist traders in the stock market models is problematic since fundamental values in the real world are unknown. Yet, in the literature to date, fundamentalists are often required to replicate key stylized facts. The authors present an agent-based model of the stock market in...
Persistent link: https://www.econbiz.de/10011723700
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International capital markets with time-varying preferences
Curatola, Giuliano; Dergunov, Ilya - 2017
We propose a 2-country asset-pricing model where agents' preferences change endogenously as a function of the popularity of internationally traded goods. We determine the effect of the time-variation of preferences on equity markets, consumption and portfolio choices. When agents are more...
Persistent link: https://www.econbiz.de/10011698927
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Asset prices and wealth dynamics in a financial market with endogenous liquidation risk
Dindo, Pietro; Staccioli, Jacopo - 2017
Within a financial market where a risk-free bond and a long-lived risky asset are exchanged by investors with …. The latter encompass a risk whenever the market impact of traders subject to them is large enough, due to a fire …-sale phenomenon. Our aim is to provide conditions for the transformation of liquidation needs into liquidation risk, and to …
Persistent link: https://www.econbiz.de/10011775376
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Investor heterogeneity and large-scale asset purchases
Breckenfelder, Johannes; De Falco, Veronica - 2024
Large-Scale Asset Purchases can impact the price of securities directly, when securities are targeted by the central bank, or indirectly through portfolio re-balancing of private investors. We quantify both the direct and the portfolio re-balancing impact, emphasizing the role of investor...
Persistent link: https://www.econbiz.de/10014528264