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Institutional Investor Sentiment and Aggregate Stock Returns
Gao, Xiang - 2020
This paper examines the equity market return predictability of institutional investor sentiment, in comparison to individual investor sentiment. Our findings suggest that institutional traders are informed, and that their sentiment helps tilting stock prices towards the intrinsic value. This is...
Persistent link: https://www.econbiz.de/10012834251
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Speculative bubbles and herding in cryptocurrencies
Haykir, Ozkan; Yagli, Ibrahim - In: Financial innovation : FIN 8 (2022), pp. 1-33
This study investigates speculative bubbles in the cryptocurrency market and factors affecting bubbles during the COVID …-19 pandemic. Our results indicate that each cryptocurrency covered in the study presented bubbles. Moreover, we found … was evident among investors; however, this diminishes during bubbles, indicating that bubbles are not explained by herd …
Persistent link: https://www.econbiz.de/10013368517
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What Hundreds of Economic News Events Say About Belief Overreaction in the Stock Market
Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai - National Bureau of Economic Research - 2024
We measure the nature and severity of a variety of belief distortions in market reactions to hundreds of economic news events using a new methodology that synthesizes estimation of a structural asset pricing model with algorithmic machine learning to quantify bias. We estimate that investors...
Persistent link: https://www.econbiz.de/10014528341
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News Diffusion in Social Networks and Stock Market Reactions
Hirshleifer, David; Peng, Lin; Wang, Qiguang - National Bureau of Economic Research - 2023
We study how the social transmission of public news influences investors' beliefs and securities markets. Using an extensive dataset to measure investor social networks, we find that earnings announcements from firms in higher-centrality locations generate stronger immediate price and trading...
Persistent link: https://www.econbiz.de/10013537754
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Speculation Sentiment
Davies, Shaun - 2020
-like demand, that is, speculation sentiment. The leveraged ETFs' primary market is a novel setting that provides observable … proxies for the magnitude and direction of speculative demand shocks and I use it to form the Speculation Sentiment Index …. Using the index, I show that speculation sentiment is contrarian; For example, it is bullish in down markets. I also find …
Persistent link: https://www.econbiz.de/10012853530
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Market Liquidity : A Study from Proprietary Algorithmic Traders Perspective
Banerjee, Ashok - 2016
In this paper, we investigate the role of proprietary algorithmic traders in facilitating liquidity in a limit order market. Using the order level data from National Stock Exchange of India, we find that they increase limit order supply following periods of high short-term volatility or periods...
Persistent link: https://www.econbiz.de/10013000937
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Market Liquidity : A Study from Proprietary Algorithmic Traders Perspective
Banerjee, Ashok - 2016
In this paper, we investigate the role of proprietary algorithmic traders in facilitating liquidity in a limit order market. We find that they rarely use liquidity removing market orders. Their ability to affect the bid-ask spread with order cancellation rates is maximum among three mutually...
Persistent link: https://www.econbiz.de/10013002949
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Investor (Mis)Reaction, Biased Beliefs, and the Mispricing Cycle
Ben-Rephael, Azi; Hitzemann, Steffen; Xiao, Yuanyuan - 2021
We construct a new measure that captures the disparity between the market reaction to earnings information and the earnings surprise ("Return-Earnings Gap", "REG"). High REG scores positively predict analyst forecast errors and firm mispricing (overvaluation) scores, especially for build-up...
Persistent link: https://www.econbiz.de/10013313215
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Investor sentiment and stock return volatility : evidence from the Johannesburg Stock Exchange
Rupande, Lorraine; Muguto, Hilary Tinotenda; … - In: Cogent economics & finance 7 (2019) 1, pp. 1-16
Volatility is an important component of asset pricing; an increase in volatility on markets can trigger changes in the risk distribution of financial assets. In conventional financial theory, investors are considered to be rational and any changes in relevant risk are assumed to be a result of...
Persistent link: https://www.econbiz.de/10012023919
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Trading by professional traders: an experiment
Cipriani, Marco; De Filippis, Roberta; Guarino, Antonio; … - 2020
not generate the price bubbles observed in previous studies with student subjects; traders aggregate private information …
Persistent link: https://www.econbiz.de/10012259899