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Trading while sleepy? : circadian mismatch and excess volatility in a global experimental asset market

Dickinson, David L.; Chaudhuri, Ananish; … - 2017

Traders in global markets operate at different local times-of-day. Suboptimal times-of-day may produce sleepiness due to daily variations in sleep/wake patterns and possibly also increased accumulation of hours awake. Global asset markets imply significantly increased heterogeneity in circadian...

Persistent link: https://www.econbiz.de/10011731909

Can ETFs afect U.S. fnancial stability? : A quantile cointegration analysis

Laborda, Juan; Laborda, Ricardo; Cruz, Javier de la - In: Financial innovation : FIN 10 (2024), pp. 1-24

relating the growing importance of ETFs to increased market volatility and rising equity valuations. We estimate quantile … cointegration models using Standard & Poor's 500 Index (S&P 500) and Chicago Board Options Exchange volatility Index (VIX) data for …

Persistent link: https://www.econbiz.de/10014540299

Intraday Online Investor Sentiment and Return Patterns in the U.S. Stock Market

Renault, Thomas - 2017

We implement a novel approach to derive investor sentiment from messages posted on social media before we explore the relation between online investor sentiment and intraday stock returns. Using an extensive dataset of messages posted on the microblogging platform StockTwits, we construct a...

Persistent link: https://www.econbiz.de/10012950889

Sentiment, Mispricing and Excess Volatility in Presence of Institutional Investors

Roche, Herve; Sotes-Paladino, Juan M. - 2022

but an ambiguous effect on volatility. The overall effect on volatility results from the interplay of a benchmarking and a … between the degree of irrationality of the sentiment-driven investors and the stock return's excess volatility, in stark … patterns in stock volatility that cannot be explained in the absence of sentiment. Our results have a number of implications …

Persistent link: https://www.econbiz.de/10014235866

Factor Momentum, Investor Sentiment, and Option-Implied Volatility-Scaling

Rutanen, Jere; Grobys, Klaus - 2020

factors capture mispricing by being long on overpriced stocks and short on underpriced stocks. Option-implied volatility …

Persistent link: https://www.econbiz.de/10014098181

Effects of investor sentiment on stock volatility : new evidences from multi-source data in China's green stock markets

Gao, Yang; Zhao, Chengjie; Sun, Bianxia; Zhao, Wandi - In: Financial innovation : FIN 8 (2022), pp. 1-30

The effect of investor sentiment on stock volatility is a highly attractive research question in both the academic … indicators. In addition, we divide the realized volatility into continuous and jump parts, and then investigate the effects of … trading (VPIN), on the path of investor sentiment affecting stock volatility. It is evidenced that investor sentiments are …

Persistent link: https://www.econbiz.de/10013368470

Avoiding Idiosyncratic Volatility : Flow Sensitivity to Individual Stock Returns

Di Maggio, Marco; Franzoni, Francesco; Kogan, Shimon; … - National Bureau of Economic Research - 2023

Despite positive and significant earnings announcement premia, we find that institutional investors reduce their exposure to stocks before earnings announcements. A novel result on the sensitivity of flows to individual stock returns provides a potential explanation. We show that extreme...

Persistent link: https://www.econbiz.de/10014322748

Return Anomalies, Disagreement, and Trading Volume

Basu, Sankarshan; Rangan, Srinivasan; Vidhani, Nikhil - 2023

We propose a new measure of investor disagreement based on thirty-nine factors from the return-predicting anomaly literature. Consistent with theoretical work on volume, we show that a one standard deviation change in anomaly-based disagreement is associated with a 16.7% higher turnover in the...

Persistent link: https://www.econbiz.de/10014348998

Cross-sectional reversal of intraday returns and investor heterogeneity in an emerging market

Chu, Xiaojun; Song, Shuang - In: Borsa Istanbul Review 23 (2023) 3, pp. 614-627

In this paper, we confirm cross-sectional reversals in intraday returns in China's A-share market. Intraday reversals are shown to be robust with respect to seasonality, alternative samples, and the daily price-limit rule. To investigate the potential drivers, trade volumes and order imbalances...

Persistent link: https://www.econbiz.de/10014308779

The Profitability of Technical Stock Trading Has Moved from Daily To Intraday Data

Schulmeister, Stephan - 2021

This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. When based on daily data, the profitability of 2580 technical models has steadily declined since 1960, and has been unprofitable since .the early 1990s....

Persistent link: https://www.econbiz.de/10013226778