Using a unique data set that contains the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially mutual funds, are momentum traders, whereas private...

Using a unique data set that contains the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially mutual funds, are momentum traders, whereas private...

This paper proposes a dynamic information diffusion model that explains the lead-lag reaction of stock prices resulting from the interaction of price trends and implied price risk (IPR). Consistent with our model's predictions, we construct a zero investment underreaction portfolio (overreaction...

In this paper, we provide new evidence to strengthen the investor overreaction hypothesis by examining a new context that has not been explored before. Our research is inspired by the widely held belief that investor sentiment experiences abrupt changes from optimism to pessimism as the market...

Individual investors’ overall return in stock markets decreases with the increase in trading frequency due to factors such as commission expenses, insider trading, spreads, and institutional investors’ high-frequency algorithms. In this study, the relationship between believing the technical...

News on the stock market contains positive or negative sentiments depending on whether the information provided is favorable or unfavorable to the stock market. This study aims to discover news sentiments and classify news according to its sentiments with the application of PhoBERT, a Natural...

Recent advances in natural language processing have contributed to the development of market sentiment measures through text content analysis in news providers and social media. The effectiveness of these sentiment variables depends on the implemented techniques and the type of source on which...

Using Internet search volume for lottery to capture gambling sentiment shifts, we show that when the overall gambling sentiment is high, investor demand for lottery-like stocks increases, these stocks earn positive short-run abnormal returns, managers are more likely to announce stock splits to...

We empirically investigate how retail and institutional investor attention is related to the way stock markets process information. With a focus on 360 US stocks in the S&P 500 universe, our results show that higher retail investors' attention around news releases increases the post-announcement...