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Investor sentiment and stock return volatility : evidence from the Johannesburg Stock Exchange

Rupande, Lorraine; Muguto, Hilary Tinotenda; … - In: Cogent economics & finance 7 (2019) 1, pp. 1-16

Volatility is an important component of asset pricing; an increase in volatility on markets can trigger changes in the risk distribution of financial assets. In conventional financial theory, investors are considered to be rational and any changes in relevant risk are assumed to be a result of...

Persistent link: https://www.econbiz.de/10012023919

Value Bubbles

Chibane, Messaoud - 2019

According to several extended behavioral theories, value profits should mirror momentum profits, and vary over time. We … negative market return, the average so-called value premium is about three time its unconditional counterpart, whereas it … (momentum crashes) are contemporaneous with extreme value profits (value bubbles). Our results are robust to various time …

Persistent link: https://www.econbiz.de/10012867491

Greed and Individual Trading Behavior in Experimental Asset Markets

Hoyer, Karlijn; Zeisberger, Stefan; Breugelmans, Seger; … - 2021

Greed has been shown to be an important economic motive. Both the popular press as well as scientific papers have mentioned questionable practices by greedy bankers and investors as one of the root causes of the 2008 global financial crisis. In spite of these suggestions, there is as of yet no...

Persistent link: https://www.econbiz.de/10013242440

Earnings autocorrelation and the post-earnings-announcement drift : experimental evidence

Fink, Josef; Palan, Stefan; Theissen, Erik - 2020

Post-earnings-announcement drift (PEAD) is one of the most solidly documented asset pricing anomalies. We use the controlled conditions of an experimental lab to investigate whether earnings autocorrelation is the driving cause of this anomaly. We observe PEAD in settings with uncorrelated and...

Persistent link: https://www.econbiz.de/10012309456

Standing in the Limelight : EDGAR Attention and Managerial Bad News Hoarding

Chen, Tao; Qu, Jimmy Chengyuan - 2021

This paper examines the effect of active attention from sophisticated market participants on managerial bad news hoarding. Using EDGAR search volume (ESV) as a direct measure, we find that, due to the increased cost of bad news disclosure, firms under greater active attention from sophisticated...

Persistent link: https://www.econbiz.de/10013231307

Real Cash Flow Expectations and Asset Prices

De la O, Ricardo; Myers, Sean - 2021

, real cash flow expectations closely match aggregate bond and stock prices, leaving little room for time-varying discount …

Persistent link: https://www.econbiz.de/10013222433

Asset Market Experiments with Diverse Information

Schmidt, Dominik; Stöckl, Thomas - 2021

On financial markets, information is a highly demanded resource and processing it to (potentially) generate excess returns drives the activities of many market participants. Not surprisingly, this high relevance of information in markets culminates in a high research interest focusing on how...

Persistent link: https://www.econbiz.de/10013323147

Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51

The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...

Persistent link: https://www.econbiz.de/10012237439

Value, Momentum and Market Timing

Filippou, Ilias - 2016

We study firm-level characteristics that a manager would employ as signalling tools in order to time the market (i … time-variation of the strategies providing a unique explanation for momentum crashes …

Persistent link: https://www.econbiz.de/10013005248

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

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