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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

The impact of Predictable Trades on IVOL, Liquidity Risk, and Liquidity Commonality

Kedar-Levy, Haim; Kim, Seok Joong; Yoo, Sean Sehyun - 2021

volatility, liquidity risk and liquidity commonality. The measures indicate whether each of our nine investor types persistently … volatility. Liquidity risk is driven by the positive-feedback trades of foreigners and local institutions. Local individuals …’ contrarian trades Granger-cause liquidity commonality. We conclude that persistent trading strategies are important demand …

Persistent link: https://www.econbiz.de/10013215440

Liquiditätsdynamik und optimale Orderaufteilungsstrategien

Griese, Knut - 2008 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003707351

When Does Investor Sentiment Predict Stock Returns?

Chung, San-Lin - 2012

We examine the predictive effect of sentiment on the cross-section of stock returns across different economic states. The degree of mispricing and the subsequent price correction can be different between economic expansion and recession because of the limits of arbitrage and short sale...

Persistent link: https://www.econbiz.de/10013116309

Investor Sentiment and the Predictability of Asset Returns : Evidence from China

Hu, Changsheng - 2013

In contrast to previous studies, we redefine the category of "rationality" from the perspective of investors' pursuit for wealth maximization. Using the data from Chinese stock market, this paper studies the impact of rational and irrational sentiment on asset returns from short-term to...

Persistent link: https://www.econbiz.de/10013088798

The effect of Innovation Similarity on Asset Prices : Evidence from Patents’ Big Data

Bekkerman, Ron - 2020

We analyze 7.7 million patents via textual analysis to develop a novel patent-to-patent measure of innovation similarity among firms. With this measure, we investigate whether stock price movements reveal information about firms' technological connectedness. We find that investors impound...

Persistent link: https://www.econbiz.de/10012852613

Are Monthly Market Returns Predictable?

Keppo, Jussi - 2020

We document significant persistence in the market timing performance of active individual investors, suggesting that some investors are skilled at timing. Using data on all trades by active Finnish individual investors over almost 15 years, we also show that the net purchases of skilled versus...

Persistent link: https://www.econbiz.de/10012856623

Innovative Originality, Profitability, and Stock Returns

Hirshleifer, David A. - 2020

We propose that innovative originality is a valuable organizational resource, and that owing to limited investor attention and skepticism of complexity, greater innovative originality may be undervalued. We find that firms' innovative originality strongly predicts higher, more persistent, and...

Persistent link: https://www.econbiz.de/10012857235

Do Investors Recognize Biases in Analysts' Forecasts?

Baird, Philip L. - 2019

This study presents direct evidence on the question whether investors recognize the widely documented biases in securities analysts' earnings forecasts. The internal rate of return implied by current stock price and consensus earnings forecasts is found to be correlated with indicators of bias...

Persistent link: https://www.econbiz.de/10012862149

Presentation Slides for 'Innovative Originality, Profitability, and Stock Returns'

Hirshleifer, David A. - 2018

These are the slides for the paper “Innovative Originality, Profitability, And Stock Returns.” The abstract of this paper is the following: We propose that innovative originality is a valuable organizational resource and that owing to limited investor attention and skepticism of complexity,...

Persistent link: https://www.econbiz.de/10012917506

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