Download or read book The Relationship Between Investor Sentiment and Stock Returns and the Effects of National Cultures written by Meng-Chan Wu and published by . This book was released on 2014 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Behavioral Finance and Stock Market Investing The Importance of National Culture written by Mustafa Özal and published by GRIN Verlag. This book was released on 2021-03-17 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master's Thesis from the year 2018 in the subject Business economics - Investment and Finance, grade: 1,3, University of Bremen, language: English, abstract: The aim of this paper is to propose a model for cultural finance and to develop theory-based hypotheses on stock market investing. In contrast to the inductive financial research, a deductive approach is offered here to connect widely-accepted behavioral hypotheses on the stock market. Understanding behavioral influences on an investor’s decision-making surprisingly has not been driven much by the acknowledgment of the mediating role of culture. While behavioral finance criticizes excessive simplifications regarding an investor’s behavior according to the homo oeconomicus, it makes the unrealistic assumption that actors exhibit universal biases and equally apply heuristics when facing different choices of action. This paper addresses cultural finance as an important background variable and suggests a conjoint effect with behavioral finance. This means that the culture can enhance, decrease or reverse biases and heuristics which are still mostly examined in the United States and only replicated in western countries. The paper is encouraged to implement cultural finance as a future research field.
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.
Download or read book The Relationship Between Stock Returns and Investor Sentiment written by Zachary McGurk and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 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 and Stock Returns written by Benjamin David Lee Brookins and published by . This book was released on 2014 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since Keynes coined the term animal spirits economists have been debating what the real impact human psychology is on economic variables. The major challenge in identifying these effects is the close ties between negative (positive) emotions and poor (good) future real outlook. I exploit a historical weighting anomaly in a widely cited US stock index to examine the impact of psychology on stock returns. I first argue this is a plausibly exogenous shock, and compare this measure to other measures found in the literature. I find that the measure doesn't seem to relate to previous proxies for investor sentiment, however, when I examine survey measures of interest rates and consumer confidence we find a relationship. I then examine how sentiment affects the cross section of stock returns, consistent with predictions I find that small stocks earn low subsequent returns when sentiment is low, and high returns when sentiment is high.
Download or read book Investor Sentiment and the Cross section of Stock Returns written by Wenjie Ding and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We extend the noise trader risk model of Delong et al. (J Polit Econ 98:703-738, 1990) to a model with multiple risky assets to demonstrate the effect of investor sentiment on the cross-section of stock returns. Our model formally demonstrates that market-wide sentiment leads to relatively higher contemporaneous returns and lower subsequent returns for stocks that are more prone to sentiment and difficult to arbitrage. Our extended model is consistent with the existing empirical evidence on the relationship between sentiment and cross-sectional stock returns. Guided by the extended model, we also decompose investor sentiment into long- and short-run components and predict that long-run sentiment negatively associates with the cross-sectional return and short-run sentiment positively varies with the cross-sectional return. Consistent with these predictions, we find a negative relationship between the long-run sentiment component and subsequent stock returns and positive association between the short-run sentiment component and contemporaneous stock returns.
Download or read book Investor Sentiment Regimes and Stock Returns written by San-Lin Chung and published by . This book was released on 2009 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we empirically examine the relationship between return predictability and investor sentiment when the stock fundamentals exhibit regime shifts. This study is motivated by the fact that the predictive power of sentiment may be weakened if we do not separately identify the price change as a correction of a mispricing due to sentiment and/or an adjustment dynamic in relation to the regime shift. We propose a simple way to explore this issue within the conventional predictive regression framework and a testing procedure to tackle the potential econometric problems. Our main empirical findings are: (1) the effects of sentiment on predicting the cross-section of future stock returns are significant only under a certain regime (bullish regime); (2) dividend- and earning-oriented portfolios show strong conditional predictability patterns only after conditioning on sentiment and regime; (3) the appearance of the size and value effects is associated with sentiment and the state of regime; (4) the cross-sectional predictability patterns associated with sentiment reflect the mispricing, not the compensation for systematic risk.
Download or read book The Impact of Investor Sentiment on Stock Returns in Emerging Markets The Case of Central European Markets written by Pilar Corredor and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the effect of investor sentiment on stock returns in three Central European markets: the Czech Republic, Hungary and Poland. The results show that sentiment is a key variable in the prices of stocks traded on these markets and its impact is stronger here than in more developed European markets. This effect is linked to stock characteristics, particularly those considered to make stocks more prone to the influences of investor sentiment. The evidence shows that the effect is not uniform across countries, since higher levels are found for Poland and the Czech Republic, thus confirming the role of country-specific factors in the impact of investor sentiment on stock prices. The results also confirm that sentiment is a twofold (global and local) phenomenon, in which the global dimension has much greater impact than the local dimension, at least in the markets considered. Finally, the paper has shown that sentiment does not spread, at least to any significant degree, through the movement of capital between markets. This strengthens the argument that sentiment is transmitted through a behavioral mechanism. If this argument proves correct, there is little likelihood of local regulatory action being very effective in limiting the perverse impact of asset bubbles.
Download or read book News and Investor Sentiment written by 許嫣茹 and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Investor Sentiment Stock Returns and Analyst Recommendation Changes written by Karam Kim and published by . This book was released on 2019 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the responses of investor sentiment and stock market returns to announcements of changes in analyst recommendation as well as the effect of these announcements on the relationship between sentiment and stock returns. Investor sentiment is more sensitive to upgrade announcements than to downgrade announcements, implying that news about upgrades reduces information asymmetry among investors. Furthermore, investor sentiment significantly affects the response of stock returns to downgrade announcements because investor sentiment is pessimistic before bad news is released, whereas we do not find a similar result for upgrade announcements.
Download or read book How Does Investor Sentiment Have Impacts on Stock Returns and Volatility in the Growth Enterprise Market in China written by Jinshi Zheng and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation mainly explores the effect of investor sentiment on stock returns and volatility on Growth Enterprise in China using monthly data from Shenzhen Stock Exchange of China from June 2010 to November 2019. Using five explicit and market-related implicit indicators an investor sentiment has been measured and constructed with the help of principal component analysis. The analysis has been done by employing a vector autoregression(VAR) model and impulse response functions (IRFs) generated from a VAR model to examine the relationship between the unanticipated changes in investor sentiment and stock returns and volatility. We also establish EGARCH model to test the validity of previous results and if the asymmetric impact of positive and negative news on market returns volatility. The results show a significant impact of investor sentiment on stock return and volatility. We also document that there is a positive leverage effect between investor sentiment and the volatility of returns. The findings of this paper can help both individual and institutional investors have a better understanding of GEM market and improve their investment returns by incorporating investor sentiment into their asset forecasting model. This paper also provides policymakers guidance on reducing volatility on stock markets from the perspective of investor sentiment. Additionally, this paper has important contributions to behavioral finance and adds to the limited number of studies on investor sentiment and stock return in not only the Chinese market but emerging markets.
Download or read book Coordinated Portfolio investment Survey written by International Monetary Fund and published by International Monetary Fund. This book was released on 1997-01-01 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a coordinated portfolio investment survey guide provided to assist national compilers in the conduct of the Coordinated Portfolio Investment Survey, conducted under the auspices of the IMF with reference to the year-end 1997. The guide covers a variety of conceptual issues that a country must address when conducting a survey. It also covers the practical issues associated with preparing for a national survey. These include setting a timetable, taking account of the legal and confidentiality issues raised, developing a mailing list, and maintaining quality control checks.
Download or read book The Impact of Investor Sentiment Changes on Tourism Stock Returns written by and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Investor Sentiment Dynamics the Cross section of Stock Returns and the MAX Effect written by Muhammad A. Cheema and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "Recent evidence shows that investor sentiment is a contrarian predictor of stock returns with speculative stocks earning lower (higher) future returns than safe stocks following high (low) sentiment states. We extend this argument by conditioning expected stock returns on sentiment dynamics and show that the mispricing of speculative and safe stocks worsens with sentiment continuations but is corrected with sentiment transitions, consistent with the view that the mispricing of these stocks is sentiment-driven. We show that the unconditional contrarian return predictability of sentiment, at least in the short-run, is due to the returns of stocks in sentiment transitions. Results show that ex post, sentiment is a momentum predictor if subsequent sentiment continues; and a contrarian predictor if subsequent sentiment transitions. We also show that the MAX effect can either be positive or negative contingent on sentiment dynamics. The absence of a negative MAX effect following Low sentiment states suggested by prior studies is due to the completely offsetting negative MAX effect when sentiment continues in a Low state and the positive MAX effect when sentiment transitions from a High to a Low state. Keywords: Investor sentiment, sentiment dynamics, MAX effect, cross-sectional returns"--Page [ii].
Download or read book Investor Sentiment and the Cross section of Stock Returns written by Malcolm Baker and published by . This book was released on 2004 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine how investor sentiment affects the cross-section of stock returns. Theory predicts that a broad wave of sentiment will disproportionately affect stocks whose valuations are highly subjective and are difficult to arbitrage. We test this prediction by studying how the cross-section of subsequent stock returns varies with proxies for beginning-of-period investor sentiment. When sentiment is low, subsequent returns are relatively high on smaller stocks, high volatility stocks, unprofitable stocks, non-dividend-paying stocks, extreme-growth stocks, and distressed stocks, consistent with an initial underpricing of these stocks. When sentiment is high, on the other hand, these patterns attenuate or fully reverse. The results are consistent with predictions and appear unlikely to reflect an alternative explanation based on compensation for systematic risk.
