The growth of social media has transformed how information is transmitted in the financial markets. It has impacted its primary users, the household investors' decision making on the stock market. Through Prospect theory, the household investors' unconditional trust in the social media for...

Text is inherently ambiguous. I use textual analysis to extract beliefs from financial news and social media sources to construct a Big Data ambiguity index. The index uses mixture of distributions that regards disagreement between sources and their individual uncertainties. Empirical results...

Habits and sentiment are key psychological behaviors in asset pricing. This paper studies the interactive impacts of sentiment and habits on asset pricing using the Campbell and Cochrane 1999 habit model as a framework model. A positive sentiment shock emanating from firms is modeled in the...

The Chinese equities markets witnessed wild swings in 2014-2015. The stock market's impact on the Chinese economy, and in turn on the Federal Reserve's interest rate policy is indirect but significant. The high internet penetration of the Chinese population - about 670 million and growth in...

In this paper, price drivers for the Arabian Gulf oil tanker rates were derived from the Bayesian logistic regression to form a leading indicator. A universe of price drivers was filtered based on statistical criteria and speculative backtest results. Results showed that refining margins in...

Investors read news from social and news media to make financial decisions. I used a mixture of distributions model on Thomson Reuters textual indices for these sources to build a monthly ambiguity proxy. This ambiguity proxy reflects disagreement and the monthly information uncertainty of the...

In this paper, price drivers for the Arabian Gulf oil tanker rates were derived from the Bayesian logistic regression to form a leading indicator. A universe of price drivers was filtered based on statistical criteria and speculative backtest results. Results showed that refining margins in...