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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

Mutual fund flows, expected returns, and the real economy

Jank, Stephan - 2011 - First draft: December 4, 2010, This draft: February 7, 2011

The paper explores whether the co-movement of market returns and equity fund flows can be explained by a common response to macroeconomic news. I find that variables that predict the real economy as well as the equity premium are related to mutual fund flows. Changes in dividend-price ratio...

Persistent link: https://www.econbiz.de/10008902922

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) The Volatility Puzzle. We offer resolutions of...

Persistent link: https://www.econbiz.de/10012842392

The trend is your friend : time-series momentum strategies across equity and commodity markets

Georgopoulou, Athina; Wang, Jiaguo - In: Review of finance : journal of the European Finance … 21 (2017) 4, pp. 1557-1592

Persistent link: https://www.econbiz.de/10011804328

Bookmaker Margins and Favourite-Longshot Bias in Football Prediction Markets

Sestovic, Dragan - 2017

pervasiveness of a well known Favourite-Longshot Bias (FLB) in the European football betting markets. The odds have been more …

Persistent link: https://www.econbiz.de/10012947970

Is Cognitive Bias Really Present in Analyst Forecasts? The Role of Investor Sentiment

Corredor, Pilar - 2014

is mainly strategic or whether it also contains an element of cognitive bias. Despite the fact that forecast errors lack … stock returns, our new tests based on selection bias (SB1 and SB2), in conjunction with an analysis of abnormal trading … volume, confirm the presence of both cognitive bias and strategic behaviour in analyst forecasts. This shows that, although …

Persistent link: https://www.econbiz.de/10013045970

Sentiment indices on financial markets : what do they measure?

Bormann, Sven-Kristjan - 2013

Sentiment indices based on investor sentiment surveys attempt to measure the stock market sentiment. The literature on these indices focusses mainly on whether investor sentiment influences the financial markets or not. But the term “sentiment” has never been defined in the literature....

Persistent link: https://www.econbiz.de/10010197018

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

Textual Sentiment in Finance : A Survey of Methods and Models

Kearney, Colm - 2016

We survey the textual sentiment literature, comparing and contrasting the various information sources, content analysis methods, and empirical models that have been used to date. We summarize the important and influential findings about how textual sentiment impacts on individual, firm-level and...

Persistent link: https://www.econbiz.de/10013007694

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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