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Stock market rumors and credibility
Schmidt, Daniel - 2019
Stock prices occasionally move in response to unverified rumors. I propose a cheap talk model in which a rumormonger's incentives to tell the truth depend on the interaction between her investment horizon and the information acquisition decisions of message-receiving investors. The model's key...
Persistent link: https://www.econbiz.de/10012250063
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Pandemic or panic? : a firm-level study on the psychological and industrial impacts of COVID-19 on the Chinese stock market
Wang, Qiuyun; Liu, Lu - In: Financial innovation : FIN 8 (2022), pp. 1-38
This study presents a thorough investigation of the relationship between the coronavirus disease 2019 (COVID-19) and daily stock price changes. We use several types of COVID-19 patients as indicators for exploring whether stock prices are significantly affected by COVID-19's impact. In addition,...
Persistent link: https://www.econbiz.de/10013272717
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Review on efficiency and anomalies in stock markets
Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51
The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...
Persistent link: https://www.econbiz.de/10012237439
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Stock Market Recommendations : Does it Help Investors?
Bandopadhyay, Kalpataru - 2014
The brokerage firms and financial institutions recommend for buying and selling shares throughout the year. The objective of the paper is to investigate whether there is any scope to earn higher return than the market on the basis of recommendation offered. This paper has considered one eighty...
Persistent link: https://www.econbiz.de/10013048629
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Fiduciary Finance : Investment Funds and the Crisis in Financial Markets
Gold, Martin - 2012
This multi-faceted analysis of institutional investment defines fiduciary finance institutions as the third pillar of the financial system, alongside banks and insurers. It documents the role played by investment funds and the money management industry during the recent financial crisis, and...
Persistent link: https://www.econbiz.de/10013115823
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Forecasting returns with fundamentals-removed investor sentiment
Stivers, Adam - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 319-341
The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor...
Persistent link: https://www.econbiz.de/10011312208
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Bidirectional relationship between investor sentiment and excess returns : new evidence from the wavelet perspective
Marczak, Martyna; Beissinger, Thomas - 2015
This paper sheds new light on the mutual relationship between investor sentiment and excess returns corresponding to the bubble component of stock prices. We propose to use the wavelet concept of the phase angle to determine the lead-lag relation between these variables. The wavelet phase angle...
Persistent link: https://www.econbiz.de/10011325814
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Topic Sentiment Asset Pricing with DNN Supervised Learning
Iwasaki, Hitoshi - 2018
We develop an innovative deep neural network (DNN) supervised learning approach to extracting insightful topic …
Persistent link: https://www.econbiz.de/10012913263
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Information Choice, Uncertainty, and Expected Returns
Cao, Charles; Gempesaw, David; Simin, Timothy T. - 2023
information and investment choice, we estimate a learning index that reflects the expected benefits of learning about an asset …. High learning index stocks have lower future returns and risk compared to low learning index stocks. Analysis of a … information environment surrounding earnings announcements reinforce our interpretation of the learning index. Our findings …
Persistent link: https://www.econbiz.de/10014355075
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Informed Momentum Trading versus Uninformed 'Naive' Investors Strategies
Banerjee, Anurag Narayan - 2011
We construct a zero-net-worth uninformed "naive investor" who uses a random portfolio allocation strategy. We then compare the returns of the momentum strategist to the return distribution of naive investors. For this purpose we reward momentum profits relative to the return percentiles of the...
Persistent link: https://www.econbiz.de/10013134012