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Mind, body, bubble! : psychological and biophysical dimensions of behavior in experimental asset markets

Butler, David J.; Cheung, Stephen L. - 2018

evidence from dozens of laboratory experiments that investigate the measurement and manipulation of an array of psychological … and biophysical attributes. Measures of emotion self‐regulation and interoceptive ability are informative, as is cognitive …

Persistent link: https://www.econbiz.de/10011870688

Valuation Measures : From Simple Ratios to Stock Market’s Predictors

Sorge, Benedetta; Montagna, Dennis Marco; Amendola, Antonio - 2021

This research represents the union of two main studies: the first one focused on the analysis of the CAPE Ratio, also known as the Cyclically Adjusted Price-Earnings ratio, a valuation measure introduced by the Nobel Prize Robert Shiller, and the second one focused on the predictability of the...

Persistent link: https://www.econbiz.de/10013252430

What Do Earnings Announcements Tell Us about Investor Learning in Financial Markets?

Menssink, Stefan - 2012

We show that immediate and delayed abnormal returns following earnings announcement surprises differ across market states. Immediate abnormal returns are more sensitive to earnings surprises in down markets, while delayed abnormal returns are less sensitive; underreaction is attenuated in down...

Persistent link: https://www.econbiz.de/10013096116

Out of the Limelight But in Play : Trading and Liquidity of Media and Off-Media Stocks

Fang, Lily H. - 2014

Using hand-collected TV programming data and intra-day trading from China, we compare the trading, liquidity, and returns of on-show and off-show stocks in the same sector. Our difference-in-difference analysis reveals that post-show, off-show stocks experience significant improvements in...

Persistent link: https://www.econbiz.de/10013067069

Individual Investors’ Participation and Divergence of Opinion in New Issue Markets : Evidence From Malaysia

Narayanasamy, Cheedradevi - 2018

We investigate the effects of individual investors' participation on after-market divergence of opinion (DOP) for 269 Malaysian fixed-price initial public offerings (IPOs). Our findings show that individual investor participation moderates the relationship between initial performance and...

Persistent link: https://www.econbiz.de/10012926298

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 … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …

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

Herding and Anchoring in Cryptocurrency Markets : Investor Reaction to Fear and Uncertainty

Gurdgiev, Constantin - 2020

Cryptocurrencies have emerged as an innovative alternative investment asset class, traded in data-rich markets by globally distributed investors. Although significant attention has been devoted to their pricing properties, to-date, academic literature on behavioral drivers remains less...

Persistent link: https://www.econbiz.de/10012844436

The Role of Market Sentiment in Asset Allocations and Stock Returns

Hilliard, Jitka - 2019

We investigate the role of mutual fund flows in incorporating market sentiment into asset prices. We show that retail investors adjust their investments among mutual fund categories in response to changes in market sentiment. Consistent with sentiment-induced price pressure through fund flows,...

Persistent link: https://www.econbiz.de/10012903687

Is Investor Sentiment Contagious? International Sentiment and UK Equity Returns

Hudson, Yawen - 2018

This paper contributes to a growing body of literature studying investor sentiment. Separate sentiment measures for UK investors and UK institutional investors are constructed from commonly cited sentiment indicators using the first principle component method. We examine the cross-border...

Persistent link: https://www.econbiz.de/10012938428

Cognitive Biases in Investors' Behaviour under Stress : Evidence from the London Stock Exchange

Philippas, Dionisis - 2017

The paper examines the implications arising from the effect of two cognitive biases, representativeness and conservatism, for securities price behaviour on the London Stock Exchange. In a single- and multi-factor framework of abnormal returns, the aspects of trend and consistency in the...

Persistent link: https://www.econbiz.de/10012970387