Download or read book Aggregate Investment and Investor Sentiment written by Salman Arif and published by . This book was released on 2014 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Aggregate Sentiment and Investment written by Donja Darai and published by . This book was released on 2017 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: Sentiment indices, such as measures of consumer confidence, are often discussed as potential indicators of future investment, consumption and growth. However, documenting a causal relationship between consumer confidence and output -- and understanding the precise nature of the relationship -- using field data has been challenging. We rely on the high degree of control afforded by a laboratory setting to experimentally test a simple model of investment with complementarities and time-varying fundamentals. Our experiment manipulates the presence of aggregate confidence measures to test both how they reflect available information and how they influence future output. We find that an aggregate sentiment measure can be as effective as a highly precise exogenous public signal in coordinating behavior on more efficient equilibria. Furthermore, our analysis indicates that the confidence measure also impacts expectations by influencing beliefs about aggregate investment.

Download or read book Retail Investor Sentiment and Behavior written by Matthias Burghardt and published by Springer Science & Business Media. This book was released on 2011-03-16 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a unique data set consisting of more than 36.5 million submitted retail investor orders over the course of five years, Matthias Burghardt constructs an innovative retail investor sentiment index. He shows that retail investors’ trading decisions are correlated, that retail investors are contrarians, and that a profitable trading strategy can be based on these aggregated sentiment measures.

Download or read book Investor Sentiment in the Stock Market written by Malcolm P. Baker and published by . This book was released on 2007 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Real investors and markets are too complicated to be neatly summarized by a few selected biases and trading frictions. The "top down" approach to behavioral finance focuses on the measurement of reduced form, aggregate sentiment and traces its effects to stock returns. It builds on the two broader and more irrefutable assumptions of behavioral finance -- sentiment and the limits to arbitrage -- to explain which stocks are likely to be most affected by sentiment. In particular, stocks of low capitalization, younger, unprofitable, high volatility, non-dividend paying, growth companies, or stocks of firms in financial distress, are likely to be disproportionately sensitive to broad waves of investor sentiment. We review the theoretical and empirical evidence for these predictions."--abstract.

Download or read book Trading on Sentiment written by Richard L. Peterson and published by John Wiley & Sons. This book was released on 2016-03-21 with total page 374 pages. Available in PDF, EPUB and Kindle. Book excerpt: In his debut book on trading psychology, Inside the Investor’s Brain, Richard Peterson demonstrated how managing emotions helps top investors outperform. Now, in Trading on Sentiment, he takes you inside the science of crowd psychology and demonstrates that not only do price patterns exist, but the most predictable ones are rooted in our shared human nature. Peterson’s team developed text analysis engines to mine data - topics, beliefs, and emotions - from social media. Based on that data, they put together a market-neutral social media-based hedge fund that beat the S&P 500 by more than twenty-four percent—through the 2008 financial crisis. In this groundbreaking guide, he shows you how they did it and why it worked. Applying algorithms to social media data opened up an unprecedented world of insight into the elusive patterns of investor sentiment driving repeating market moves. Inside, you gain a privileged look at the media content that moves investors, along with time-tested techniques to make the smart moves—even when it doesn’t feel right. This book digs underneath technicals and fundamentals to explain the primary mover of market prices - the global information flow and how investors react to it. It provides the expert guidance you need to develop a competitive edge, manage risk, and overcome our sometimes-flawed human nature. Learn how traders are using sentiment analysis and statistical tools to extract value from media data in order to: Foresee important price moves using an understanding of how investors process news. Make more profitable investment decisions by identifying when prices are trending, when trends are turning, and when sharp market moves are likely to reverse. Use media sentiment to improve value and momentum investing returns. Avoid the pitfalls of unique price patterns found in commodities, currencies, and during speculative bubbles Trading on Sentiment deepens your understanding of markets and supplies you with the tools and techniques to beat global markets— whether they’re going up, down, or sideways.

Download or read book Inefficient Markets written by Andrei Shleifer and published by OUP Oxford. This book was released on 2000-03-09 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient markets hypothesis has been the central proposition in finance for nearly thirty years. It states that securities prices in financial markets must equal fundamental values, either because all investors are rational or because arbitrage eliminates pricing anomalies. This book describes an alternative approach to the study of financial markets: behavioral finance. This approach starts with an observation that the assumptions of investor rationality and perfect arbitrage are overwhelmingly contradicted by both psychological and institutional evidence. In actual financial markets, less than fully rational investors trade against arbitrageurs whose resources are limited by risk aversion, short horizons, and agency problems. The book presents and empirically evaluates models of such inefficient markets. Behavioral finance models both explain the available financial data better than does the efficient markets hypothesis and generate new empirical predictions. These models can account for such anomalies as the superior performance of value stocks, the closed end fund puzzle, the high returns on stocks included in market indices, the persistence of stock price bubbles, and even the collapse of several well-known hedge funds in 1998. By summarizing and expanding the research in behavioral finance, the book builds a new theoretical and empirical foundation for the economic analysis of real-world markets.

Download or read book Aggregate Investment and Its Consequences written by Salman Arif and published by . This book was released on 2014 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: I use financial statement information to examine intertemporal investment decisions by publicly traded firms at the aggregate level. I find that aggregate corporate investment negatively predicts aggregate returns in the US and abroad. Corporations invest more when investor sentiment is higher, the yield curve is flatter, and analysts are more optimistic. Higher aggregate investment forecasts lower aggregate profitability, lower earnings announcement returns, a widening of the 'value premium', lower returns on growth stocks and lower macroeconomic growth. My findings are consistent with the long-held conjecture that aggregate investment is inefficient, with consequences for prices and fundamentals at the aggregate level.

Download or read book Aggregate Investment and Its Consequences written by Mr. Salman Arif and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: I use financial statement information to examine intertemporal investment decisions by publicly traded firms at the aggregate level. I find that aggregate corporate investment negatively predicts stock market returns in the US and in a number of foreign countries. Corporations invest more when: (i) investor sentiment is higher; (ii) the yield curve is flatter; and (iii) analysts are more optimistic about future earnings. Moreover, higher aggregate investment forecasts: (i) lower aggregate ROA; (ii) lower short-window returns around earnings announcements; (iii) lower returns on growth stocks and a widening of the 'value premium'; and (iv) deteriorating macroeconomic growth and a higher risk of recession. Several dimensions of these findings are difficult to reconcile in an efficient framework and suggest that inefficient investment plays a role in driving prices and fundamentals at the aggregate level.

Download or read book Stock Message Boards written by Y. Zhang and published by Springer. This book was released on 2014-12-04 with total page 309 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stock Message Boards provides empirical data to reveal how online communication not only impacts stock returns, but also volatility, trading volume, and liquidity, as well as an investing firm's value and reputation.

Download or read book Data Science for Economics and Finance written by Sergio Consoli and published by Springer Nature. This book was released on 2021 with total page 357 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book covers the use of data science, including advanced machine learning, big data analytics, Semantic Web technologies, natural language processing, social media analysis, time series analysis, among others, for applications in economics and finance. In addition, it shows some successful applications of advanced data science solutions used to extract new knowledge from data in order to improve economic forecasting models. The book starts with an introduction on the use of data science technologies in economics and finance and is followed by thirteen chapters showing success stories of the application of specific data science methodologies, touching on particular topics related to novel big data sources and technologies for economic analysis (e.g. social media and news); big data models leveraging on supervised/unsupervised (deep) machine learning; natural language processing to build economic and financial indicators; and forecasting and nowcasting of economic variables through time series analysis. This book is relevant to all stakeholders involved in digital and data-intensive research in economics and finance, helping them to understand the main opportunities and challenges, become familiar with the latest methodological findings, and learn how to use and evaluate the performances of novel tools and frameworks. It primarily targets data scientists and business analysts exploiting data science technologies, and it will also be a useful resource to research students in disciplines and courses related to these topics. Overall, readers will learn modern and effective data science solutions to create tangible innovations for economic and financial applications.

Download or read book Essays in Investor Sentiment written by Major Coleman and published by . This book was released on 2013 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chapter 1. If investors choose consumption and investment levels jointly to maximize expected utility or value, then investor sentiment about stock returns should be reflected in consumption choices. I find a positive contemporaneous relationship between aggregate consumption of nondurables and investor stock sentiment. Investors' false perceptions of changes in stock market wealth appear to move consumption in the same direction initially. But as expected stock returns do not materialize, sentiment-based consumption is reversed. On average, this reversal occurs two to four years later, which coincides with the time it takes for sentiment to correct from prior levels. Sentiment does not positively predict returns as a positive proxy of rational expectations of risk would. Nor does sentiment negatively predict the covariance between consumption growth and returns as an inverse proxy for rational expectations of risk would. The results suggest that bias in investor expectations is an important factor in consumption-based asset pricing models. Chapter 2. I hypothesize that directly observable past returns drive housing investment more so than fundamentals because the difference between price and fundamental value---sentiment---is not directly observable. Housing sentiment only becomes recognizable when it is extreme, so the magnitude of sentiment must be large enough relative to recent returns in order for prices to correct. I construct indices of housing sentiment and use the measures to calibrate a specification of home price growth driven by momentum investing. I find that home price growth is persistent even when prices are moving away from fundamental value, and reversals in home price growth are only likely when the housing sentiment measures are extreme.

Download or read book Manager Sentiment and Stock Returns written by Fuwei Jiang and published by . This book was released on 2017 with total page 67 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper constructs a manager sentiment index based on the aggregated textual tone of corporate financial disclosures. We find that manager sentiment is a strong negative predictor of future aggregate stock market returns, with monthly in-sample and out-of-sample R2 of 9.75% and 8.38%, respectively, which is far greater than the predictive power of other previously-studied macroeconomic variables. Its predictive power is economically comparable and is informationally complementary to existing measures of investor sentiment. Higher manager sentiment precedes lower aggregate earnings surprises and greater aggregate investment growth. Moreover, manager sentiment negatively predicts cross-sectional stock returns, particularly for firms that are difficult to value and costly to arbitrage.

Download or read book Investor Sentiment written by Vandana Singhvi and published by . This book was released on 2001 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Investor Sentiment and Aggregate Volatility Pricing written by Chiraz Labidi and published by . This book was released on 2015 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper aims at providing new insights on the pricing of aggregate volatility risk by incorporating investor sentiment in the relation between sensitivity to innovations in implied market volatility and expected stock returns. Using both cross-sectional and time series analysis, we investigate the effect of the exposure to aggregate volatility risk on stock returns in both high-sentiment and low-sentiment regimes. We find that exposure to aggregate volatility risk is negatively related to returns when sentiment is low. However, this relation loses its significance when sentiment is high. The documented negative relation is robust to controls for other variables and to the use of various sentiment proxies, suggesting that aggregate volatility risk is an independent risk factor only during low sentiment periods.

Download or read book Media Sentiment and International Asset Prices written by Samuel P. Fraiberger and published by International Monetary Fund. This book was released on 2018-12-10 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We assess the impact of media sentiment on international equity prices using more than 4.5 million Reuters articles published across the globe between 1991 and 2015. News sentiment robustly predicts daily returns in both advanced and emerging markets, even after controlling for known determinants of stock prices. But not all news-sentiment is alike. A local (country-specific) increase in news optimism (pessimism) predicts a small and transitory increase (decrease) in local returns. By contrast, changes in global news sentiment have a larger impact on equity returns around the world, which does not reverse in the short run. We also find evidence that news sentiment affects mainly foreign – rather than local – investors: although local news optimism attracts international equity flows for a few days, global news optimism generates a permanent foreign equity inflow. Our results confirm the value of media content in capturing investor sentiment.

Download or read book Investor Sentiment in the Stock Market written by Malcolm P. Baker and published by . This book was released on 2009 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real investors and markets are too complicated to be neatly summarized by a few selected biases and trading frictions. The quot;top downquot; approach to behavioral finance focuses on the measurement of reduced form, aggregate sentiment and traces its effects to stock returns. It builds on the two broader and more irrefutable assumptions of behavioral finance - sentiment and the limits to arbitrage - to explain which stocks are likely to be most affected by sentiment. In particular, stocks of low capitalization, younger, unprofitable, high volatility, non-dividend paying, growth companies, or stocks of firms in financial distress, are likely to be disproportionately sensitive to broad waves of investor sentiment. We review the theoretical and empirical evidence for these predictions.

Download or read book The Real Effects of Investor Sentiment written by Christopher Polk and published by . This book was released on 2003 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study how stock market mispricing might influence individual firms' investment decisions. We find a positive relation between investment and a number of proxies for mispricing, controlling for investment opportunities and financial slack, suggesting that overpriced (underpriced) firms tend to overinvest (underinvest). Consistent with the predictions of our model, we find that investment is more sensitive to our mispricing proxies for firms with higher R & D intensity suggesting longer periods of information asymmetry and thus mispricing) or share turnover (suggesting that the firms' shareholders are short-term investors). We also find that firms with relatively high (low) investment subsequently have relatively low (high) stock returns, after controlling for investment opportunities and other characteristics linked to return predictability. These patterns are stronger for firms with higher R & D intensity or higher share turnover.