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Does investor attention matter? The attention-return relation in gold futures market

Han, Liyan; Xu, Yang; Yin, Libo - 2017

The authors investigate multiplicate relationships between investor attention and gold futures return. The Vector Auto … Regression (VAR) estimates demonstrate that investor attention exhibits significant impact on gold futures returns and the effect … past gold return typically has a sizable impact on investor attention with a positive coefficient. Following the findings …

Persistent link: https://www.econbiz.de/10011665585

Expected Correlation and Future Market Returns

Buss, Adrian - 2019

Implied correlation, jointly extracted from index and stock options, is a robust predictor of long-term market returns. We document that its predictive power stems from its role as a leading procyclical state variable, predicting future investment opportunities, that is, financial-market risks...

Persistent link: https://www.econbiz.de/10012900103

The Information Content of Option Prices Regarding Future Stock Return Serial Correlation

Murray, Scott - 2014

I investigate the relation between option prices and daily stock return serial correlation. I demonstrate that the variance ratio, calculated as the ratio of realized to implied stock return variance, has both a contemporaneous and predictive relation with stock return serial correlation. The...

Persistent link: https://www.econbiz.de/10013060179

Forecasting returns with fundamentals-removed investor sentiment

Stivers, Adam - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 319-341

The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor...

Persistent link: https://www.econbiz.de/10011312208

News Content, Investor Misreaction, and Stock Return Predictability

Hadzic, Muris - 2015

Using a large dataset of news releases, we study instances of investors' mistaken reaction, or misreaction, to news. We define misreaction as stock prices moving in the direction opposite to the news when it is released. We find that news tone predicts returns in the cross-section only upon the...

Persistent link: https://www.econbiz.de/10013016562

Momentum Crash Management

Heidari, Mahdi - 2015

Momentum is one of the largest and most pervasive market anomalies. However, despite a high mean and Sharpe ratio, momentum suffers from large negative skewness that comes from momentum crash periods. These crashes occur in times of both market stress and market rebound and thus variables that...

Persistent link: https://www.econbiz.de/10013026403

The Dynamic Relation Between Options Trading, Short Selling, and Aggregate Stock Returns

DeLisle, Jared - 2015

We examine the information contained in option trading and short selling using a dynamic VAR model. First, we address whether options and shorts are complements or substitutes. Contrary to existing event studies around option listing introductions, we show short selling and options trading are...

Persistent link: https://www.econbiz.de/10013036556

Investor Sentiment and Market Skewness Pricing

Yaakoubi, Soumaya - 2022

This paper provides new evidence on the pricing of market skewness risk by incorporating investor sentiment in the relation between sensitivity to innovations in implied market skewness and expected stock returns. Using both univariate and multivariate specifications, we conduct an extensive...

Persistent link: https://www.econbiz.de/10013298295

Predicting Momentum

Ma, Siyuan - 2022

This paper examines to what extent the momentum spread ratio (MSR) can predict momentum profits. The momentum spread ratio as a potential proxy of investor underreaction can significantly predict the momentum, industry momentum, and residual momentum, especially after 1994, suggesting that...

Persistent link: https://www.econbiz.de/10013404733

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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