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Correlated information consumption and comovement in the stock market
Tan, Selin Duz - In: Borsa Istanbul Review 22 (2022) 4, pp. 812-827
This study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market outcomes. We construct clusters of stocks with CIC by employing network analysis on Google co-search data. We predict significant comovement in returns and liquidity of stocks...
Persistent link: https://www.econbiz.de/10013334839
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Does sentiment-based trading strategy yield profits?
Kim, Karam; Ryu, Doojin; Yu, Jinyoung - 2022
This study examines whether sentiment indices predict individual firms’ stock returns and evaluates the performances of sentiment-based trading strategies. Both the sentiment indices constructed using the principal component analysis (PCA) and overnight stock returns positively predict stock...
Persistent link: https://www.econbiz.de/10013301443
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The effect of the movement in 52-week high on momentum profit: The evidence from Taiwan
Liao, Li-Chuan; Chang, Tzu-Pu; Wang, Ping-Huang - In: International Journal of Business and Economic Sciences … 16 (2023) 1, pp. 71-86
influences the profitability of the original 52-week high momentum strategy. Design/methodology/approach: This paper decomposes … employ a portfolio approach and Fama-MacBeth regression analysis to investigate the profitability of each proposed momentum … original 52-week high measure can increases (decreases) the momentum profit, implying that the updating component dominates the …
Persistent link: https://www.econbiz.de/10014434585
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Psychological barriers, expectational errors, and underreaction to news
Birru, Justin - 2014
This paper provides evidence that the 52-week high serves as a psychological barrier, inducing expectational errors and underreaction to news. Two clear predictions emerge and are confirmed in the data. First, nearness to a 52-week high induces expectational errors; evidence from earnings...
Persistent link: https://www.econbiz.de/10010353292
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Trading Momentum : How Shares and Investors Behave During Momentum Periods
Della Vedova, Josh - 2016
In this paper we argue that momentum profits are driven by both past performance and the relative proximity to an available reference point, the 52-week high. We construct momentum-style portfolios that are driven strictly by past returns which we call ‘run' based measures, and compare these...
Persistent link: https://www.econbiz.de/10012984906
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New Avenues in Expected Returns : Investor Overreaction and Overnight Price Jumps in US Stock Markets
Bahcivan, Hulusi; Dam, Lammertjan; Gonenc, Halit - 2023
Using a very large data set with more than 9,700 stocks listed on NYSE, AMEX and NASDAQ, we analyze overnight price jumps and report short-term investor overreaction to information shocks and document return reversal and predictability up to five days. For negative and positive overnight jumps,...
Persistent link: https://www.econbiz.de/10014254878
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How investor attention affects stock returns? : some international evidence
Akarsu, Sergen; Süer, Ömür - In: Borsa Istanbul Review 22 (2022) 3, pp. 616-626
We examine the effects of limited investor attention on stock returns by using Google search volume index to measure investor attention. We also investigate whether national culture and market development have any role in this relationship. We find that the impact of investor attention on stock...
Persistent link: https://www.econbiz.de/10013334801
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Investor reaction to strategic emphasis on earnings numbers : an empirical study
Sadique, M. Shibley; Rahman, M. Arifur - In: Contemporary economics 7 (2013) 3, pp. 51-64
We analyze the earnings information and stock prices of S&P500 firms and find that investors following S&P500 stocks (i) respond more to pro forma earnings than to GAAP earnings, (ii) respond to an emphasis on pro forma earnings, and (iii) are fixated on pro forma earnings. We provide the first...
Persistent link: https://www.econbiz.de/10010228506
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Market States and the Profitability of Momentum Strategies : Evidence from the Taiwan Stock Exchange
Wang, Kuei-Yuan - 2010
This paper examines the impact of market states on the profitability of momentum strategies using weekly data from the … Taiwan Stock exchange over the 10-year period 1997-2006. Market states refer to the states of market such as up or down … are positively associated with the profitability of the momentum strategies. The results are consistent with the …
Persistent link: https://www.econbiz.de/10013147684
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The 52-week high and momentum in the Taiwan stock market : anchoring or recency biases?
Hao, Ying; Chu, Hsiang-Hui; Ho, Keng-Yu; Ko, Kuan-Cheng - In: International review of economics & finance : IREF 43 (2016), pp. 121-138
Persistent link: https://www.econbiz.de/10011625551