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Investor Sentiment and Paradigm Shifts in Equity Return Forecasting
Chu, Liya; He, Xuezhong; Li, Kai; Tu, Jun - 2022
This study investigates the impact of investor sentiment on excess equity return forecasting. A high (low) investor sentiment may weaken the connection between fundamental economic (behavioral-based non-fundamental) predictors and market returns. We find that although fundamental variables can...
Persistent link: https://www.econbiz.de/10013405087
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Up and Down : Forecast Revisions, Forecast Dispersion and Momentum
Liao, Yun - 2017
This paper investigates the relationships among cross-sectional stock returns and analysts' forecast revisions, forecast dispersion and momentum. Market rewards the strategy in pursuit of revision up and away from revision down by 22.7% per annum over the 1983-2015 periods. I find that the...
Persistent link: https://www.econbiz.de/10012955959
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What Our Market Return Forecasts Really Mean : Convexity in Equity Returns and its Implications for Investment Sizing
Haghani, Victor - 2019
You're probably familiar, at least in passing, with the 'convexity' of long-term bonds - i.e. that yields dropping 1% produce a bigger price move than yields rising 1%. A significant amount of brainpower has gone into understanding all the ramifications of this convexity in the fixed income...
Persistent link: https://www.econbiz.de/10012902324
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Recurring Firm Events and Predictable Returns : The Within-Firm Time-Series
Hartzmark, Samuel M. - 2017
, and replicate internationally. It is difficult to explain the patterns with a unified risk theory. Some of the underlying …
Persistent link: https://www.econbiz.de/10012945701
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Seeing is Believing : Annual Report 'Graphicity' and Stock Returns Predictability
Deng, Wesley; Gao, Lei; Hu, Bo; Zhou, Guofu - 2021
Using a large hand-collected dataset, we provide novel evidence on the additional information embedded in the designs and graphs of financial reports. We find that firms that add graphic financial reports experience a positive 2.7% abnormal returns in the following 3 to 6 months. The finding...
Persistent link: https://www.econbiz.de/10013236644
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Extreme Dependence in Investor Attention and Stock Returns - Consequences for Forecasting Stock Returns and Measuring Systemic Risk
Scheffer, Marcus - 2019
We characterize co-movements in investor attention by modeling multivariate internet search volume data. Using a variety of copula models that can capture both asymmetric and skewed dependence, we find empirical evidence of strong non-linear and asymmetric dependence in the attention investors...
Persistent link: https://www.econbiz.de/10012868542
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Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach
Rachev, Svetlozar T. - 2020
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …
Persistent link: https://www.econbiz.de/10012842392
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Does Investor Sentiment Predict Stock Returns? The Evidence from Chinese Stock Market
Bu, Hui - 2017
This paper examines the proxy variables of investor sentiment in Chinese stock market carefully, and tries to construct an investor sentiment index indirectly. We use cross correlation analysis to examine lead-lag relationship between the proxy variables and HS300 index. The results show that...
Persistent link: https://www.econbiz.de/10012969999
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Extrapolation Bias and the Predictability of Stock Returns by Price-Scaled Variables
Cassella, Stefano - 2017
Using survey data on expectations of future stock returns, we recursively estimate the degree of extrapolative weighting in investors' beliefs (DOX). In an extrapolation framework, DOX determines the relative weight investors place on recent-versus-distant past returns. DOX varies considerably...
Persistent link: https://www.econbiz.de/10012970801
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Overconfident Investors, Predictable Returns, and Excessive Trading
Daniel, Kent D. - 2016
Individuals and asset managers trade aggressively, resulting in high volume in asset markets, even when such trading results in high risk and low net returns. Asset prices display patterns of predictability that are difficult to reconcile with rational expectations – based theories of price...
Persistent link: https://www.econbiz.de/10013000624