Similar Search Results

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

News-based Investor Disagreement and Cross Section of Stock Returns

Li, Sophia Zhengzi; Luan, Zeyao - 2023

We provide new evidence on investor disagreement based on a model where investors observe public information but agree to disagree on its interpretation. Specifically, we measure firm-level investor disagreement by the intraday volume-volatility elasticity around corporate news announcement. A...

Persistent link: https://www.econbiz.de/10014352473

Cross-sectional reversal of intraday returns and investor heterogeneity in an emerging market

Chu, Xiaojun; Song, Shuang - In: Borsa Istanbul Review 23 (2023) 3, pp. 614-627

In this paper, we confirm cross-sectional reversals in intraday returns in China's A-share market. Intraday reversals are shown to be robust with respect to seasonality, alternative samples, and the daily price-limit rule. To investigate the potential drivers, trade volumes and order imbalances...

Persistent link: https://www.econbiz.de/10014308779

Forecasting Excess Returns of the Gold Market : Can We Learn from Stock Market Predictions?

Dichtl, Hubert - 2017

As some recent studies have shown empirically, future gold price fluctuations are especially difficult to forecast … prediction techniques leads to better forecasts of gold excess returns. The forecast power of fundamental predictor variables is … not only highly regime-dependent, but also dependent on the selected economic evaluation criterion. Future gold forecast …

Persistent link: https://www.econbiz.de/10012951544

Tan, Selin Duz - In: Borsa Istanbul Review 22 (2022) 4, pp. 812-827

This study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market outcomes. We construct clusters of stocks with CIC by employing network analysis on Google co-search data. We predict significant comovement in returns and liquidity of stocks...

Persistent link: https://www.econbiz.de/10013334839

Global, Local, and Contagious Investor Sentiment

Baker, Malcolm P. - 2012

We construct investor sentiment indices for six major stock markets and decompose them into one global and six local indices. In a validation test, we find that relative sentiment is correlated with the relative prices of dual-listed companies. Global sentiment is a contrarian predictor of...

Persistent link: https://www.econbiz.de/10013117002

Investor Sentiment and Aggregate Volatility Pricing

Labidi, Chiraz - 2015

This paper aims at providing new insights on the pricing of aggregate volatility risk by incorporating investor sentiment in the relation between sensitivity to innovations in implied market volatility and expected stock returns. Using both cross-sectional and time series analysis, we...

Persistent link: https://www.econbiz.de/10013015828

An Information Factor : What Are Skilled Investors Buying and Selling?

Ma, Matthew - 2019

We construct an information factor (INFO) using the informed stock buying of corporate insiders and the informed selling of short sellers and option traders. INFO strongly predicts future stock returns -- a long-short portfolio formed on INFO earns monthly alphas of 1.24%, substantially...

Persistent link: https://www.econbiz.de/10012898919

Sample Selection and the Relation between Investor Sentiment and Profitable Trading Strategies

Bulsiewicz, James - 2015

Recent evidence suggests that there is strong relation between investor sentiment and cross-sectional anomalies. However, I present evidence of a weak relation between cross-sectional anomalies and investor sentiment. Using a larger collection of cross-sectional anomalies, I find that only a...

Persistent link: https://www.econbiz.de/10013027198

Investor Sentiment Measures Purged : A Necessary Double Check on Sentiment Impact

Chu, Liya - 2020

The investor sentiment measures based on market variables underperform those sentiment measures extracted from investor surveys in various applications. By purging the fundamental component out of the market-variable-based sentiment measures thoroughly, we propose a largely contamination-free...

Persistent link: https://www.econbiz.de/10012848803

1
2
3
4
5
6
7
8
9
10
Next
Last