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The volatility of investor returns depends not only on the volatility of the stocks investors hold but also on their time-varying capital exposure to these holdings. We measure investor returns as dollar-weighted returns (IRRs), and provide comprehensive evidence on the volatility of investor...
Persistent link: https://www.econbiz.de/10012826916
We assess investment value of sell-side analyst recommendations from the standpoint of portfolio risk. We match I/B/E/S consensus recommendations issued for U.S.-listed equities during January 2015 with realized volatility of daily security returns up to one year following recommendation issue....
Persistent link: https://www.econbiz.de/10012917695
Risk forecasting is crucial for informed investment decision-making. Moreover, the salience of investment risk increases during economically uncertain times. In this paper, we study how sell-side analysts form expectations of firm risk, under different macroeconomic conditions (low versus high...
Persistent link: https://www.econbiz.de/10012829616
It has been shown that individual investors are more likely to buy rather than sell stocks that catch their attention. This can lead to suboptimal choices when attention-attracting qualities of a stock may indirectly detract from its utility. This paper tests the causal effect of extreme stock...
Persistent link: https://www.econbiz.de/10012900508
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
Momentum, size, and low volatility in emerging markets regularly exhibit increased correlations across factors and markets in periods of negative returns. I provide a framework to distinguish a unique source of risk from a set of factors in the stage of portfolio formation. The framework is...
Persistent link: https://www.econbiz.de/10014494785
The exchange rate plays vital role in the financial market and its importance is increasing in the developing economies. Exchange rate volatility is an important factor to consider in decision making by the investors as the interest of global investment community is increasing in assets market...
Persistent link: https://www.econbiz.de/10013156666
We present a new method to measure the intraday relationship between movements of implied volatility smiles and stock index returns. It exploits a specific characteristic of the smile profile in high-frequency data. Using transaction data for EuroStoxx 50 options from 2000 to 2011 and DAX...
Persistent link: https://www.econbiz.de/10013037094
The role of public sentiment in stock market volatility has recently become increasingly relevant. Twitter, in theory, offers an inexpensive way to measure real-time public sentiment. We take advantage of a natural experiment to assess the potential improvement that social media adds to forecast...
Persistent link: https://www.econbiz.de/10013241433
We analyze retail order flow in terms of intra-day feedback trading patterns. Using a unique data set of exchange trades and high-frequency quotes, we first provide evidence that retail investors actively and consciously respond to short-term intra-day returns in a negative feedback, contrarian...
Persistent link: https://www.econbiz.de/10014351407