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This paper investigates the impact of news media sentiment on financial market returns and volatility in the long-term. We hypothesize that the way the media formulate and present news to the public produces different perceptions and, thus, incurs different investor behavior. To analyze such...
Persistent link: https://www.econbiz.de/10010427987
We study the relationship between stock market return expectations and risk aversion of individuals and test whether … Dutch National Bank Household Survey, we find that risk aversion levels have significant and negative effects on stock … between stock market expectations and risk aversion. These effects are in addition to a significant and positive impact from …
Persistent link: https://www.econbiz.de/10013034230
advantage of mispriced stock prices and reduce the exposure of their wealth to the risk imposed by sentiment-driven mispricing …
Persistent link: https://www.econbiz.de/10012856228
Using the details of vesting terms, we document that stock options granted in high investor sentiment periods tend to have shorter vesting periods and durations, and are more likely to vest completely or have a significantly larger fraction vested within one year of the grant date, relative to...
Persistent link: https://www.econbiz.de/10013246732
Americans now hold over $1 trillion in cryptocurrencies. Has $1 trillion in wealth been created? From the standpoint of economic theory, the answers is no. The wealth of a society consists of its real assets that produce consumable goods and services. Unless a cryptocurrency provides some type...
Persistent link: https://www.econbiz.de/10014351837
We study investor overreaction using data for five major stock market crashes during the 1987-2008 period. We find some evidence of investor overreaction in all five stock market crashes. The prices of stocks investors bid down more than the average during crashes tend to increase more than the...
Persistent link: https://www.econbiz.de/10013003428
Momentum strategies suffer from occasional large drawdowns referred to as momentum crashes when the market rebounds. This paper documents that stocks far from peaks outperform stocks near peaks, and momentum crashes are attributable to such outperformance. Market rebounds triggers increase in...
Persistent link: https://www.econbiz.de/10012934906
Despite momentum's strong historical performance, its returns have large negative skewness and occasionally experiences persistent strings of sharp negative returns, referred as "momentum crashes" in the recent literature. I argue that momentum crashes are due to crowded trades which push prices...
Persistent link: https://www.econbiz.de/10013057742
price crash risk, we study the relationship between investor attention and crash risk. Adopting a quantile regression … approach, we find that the connection is concentrated in the tails of the distribution of crash risk. Investor attention has a … positive relationship with crash risk when crash risk is low (below-median quantiles), and negative when crash risk is high …
Persistent link: https://www.econbiz.de/10013323256
We study investor overreaction using data for five major stock market crashes during the 1987-2008 period. We find some evidence of investor overreaction in all five stock market crashes. The prices of stocks investors bid down more than the average during crashes tend to increase more than the...
Persistent link: https://www.econbiz.de/10013023402