Download or read book Chinese Closed End Fund Discount Investor Sentiment and Stock Return written by Tao Zhang and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The cause of closed-end fund discounts is still a puzzle to finance academia. This paper uses Chinese closed-end fund data to examine whether the closed-end fund discounts can reflect the individual investor sentiment and predict returns of size decile portfolios. Our results show there is no significant relationship between fund discounts and size decile portfolios returns for a time period from October 1998 to March 2002. And in general, fund discounts can not predict the stock returns. Our evidence in the Chinese stock market does not support the investor sentiment hypothesis.
Download or read book Does Investor Sentiment Predict Stock Returns The Evidence from Chinese Stock Market written by Hui Bu and published by . This book was released on 2017 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the proxy variables of investor sentiment in Chinese stock market carefully, and tries to construct an investor sentiment index indirectly. We use cross correlation analysis to examine lead-lag relationship between the proxy variables and HS300 index. The results show that net added accounts (NAA), SSE share turnover (TURN), and closed-end fund discount (CEFD) are leading variables to stock market. The average first day return of IPOs (RIPO) and relative degree of active trading in equity market (RDAT) are contemporary variables, while number of IPOs (NIPO) is a lagging variable of stock market. Using the sentiment proxy variables with most possible leading order, and forward selection stepwise regression method, the empirical results on monthly stock returns reveal that three leading proxy variables can be used to form a sentiment index. And the out of sample tests prove that this sentiment index has good predictive power of Chinese stock market, and it is robust.
Download or read book Investor Sentiment and the Closed end Fund Puzzle written by Charles Lee and published by . This book was released on 1990 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the proposition that fluctuations in discounts on closed end funds are driven by changes in individual investor sentiment toward closed end funds and other securities. The theory implies that discounts on various funds must move together, that new funds get started when seasoned funds sell at a premium or a small discount, and that discounts on the funds fluctuate together with prices of securities affected by the same investor sentiment. The evidence supports these predictions. In particular, we find that discounts on closed end funds narrow when small stocks do well, as would be expected if closed end funds were subject to the same sentiment as small stocks, whim tern. also to be held by individual investors. The evidence thus suggests that investor sentiment affects security returns.
Download or read book Handbook of Research on Behavioral Finance and Investment Strategies Decision Making in the Financial Industry written by Copur, Zeynep and published by IGI Global. This book was released on 2015-01-31 with total page 559 pages. Available in PDF, EPUB and Kindle. Book excerpt: In an ever-changing economy, market specialists strive to find new ways to evaluate the risks and potential reward of economic ventures by assessing the importance of human reaction during the economic planning process. The Handbook of Research on Behavioral Finance and Investment Strategies: Decision Making in the Financial Industry presents an interdisciplinary, comparative, and competitive analysis of the thought processes and planning necessary for individual and corporate economic management. This publication is an essential reference source for professionals, practitioners, and managers working in the field of finance, as well as researchers and academicians interested in an interdisciplinary approach to combine financial management, sociology, and psychology.
Download or read book ICBBEM 2023 written by Liu Lin and published by European Alliance for Innovation. This book was released on 2023-07-24 with total page 1522 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 2nd International Conference on Bigdata Blockchain and Economy Management (ICBBEM 2023) was successfully held on 19-21 May 2023 in Hangzhou, China. The conference aims to present the latest research results in the areas related to Big Data, Blockchain and Economic Management, and provide an opportunity for experts and scholars from various fields to meet face-to-face, exchange new ideas and practical experiences, establish business or research relationships, and seek future international cooperation. This volume contains a collection of excellent papers from the conference, presented on topics such as computer software and computer applications, blockchain in data management, e-commerce and digital commerce, and linear regression analysis. We hope that these papers will serve as a reference for young scholars in their future research.
Download or read book Investor Sentiment and the Closed End Fund Puzzle written by Charles Lee and published by . This book was released on 2011 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the proposition that fluctuations in discounts on closed end funds are driven by changes in individual investor sentiment toward closed end funds and other securities. The theory implies that discounts on various funds must move together, that new funds get started when seasoned funds sell at a premium or a small discount, and that discounts on the funds fluctuate together with prices of securities affected by the same investor sentiment. The evidence supports these predictions. In particular, we find that discounts on closed end funds narrow when small stocks do well, as would be expected if closed end funds were subject to the same sentiment as small stocks, whim tern. also to be held by individual investors. The evidence thus suggests that investor sentiment affects security returns.
Download or read book The Closed end Fund Puzzle written by Weiyi (Eric) Zhang and published by . This book was released on 2014 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis investigates the closed-end fund puzzle in China. This thesis finds rational theories of the closed-end fund discount puzzle, such as fund shares and holding asset liquidity, fund past performance and fees, are important determinants of the fund premiums. Several of these attributes are measured by innovative proxies. For instance, fund past performance is measured by the information ratio or t-alpha, which is often used in hedge fund performance evaluation studies, and the Amihud illiquidity measure is employed to test the association between fund liquidity and premiums. In addition, we also find supporting evidence for irrational theories or sentiment theories. First, fund premiums reflect fund future performance, implying premiums may contain expectation component or, alternatively, sentiment component. Second, the association between changes in value weighted discount and small-cap stock returns is significant across all size-sorted portfolios, when the market is booming and the number of retail investors participating in the market is increasing.
Download or read book ICIDC 2022 written by Zuriati Ahmad Zukarnain and published by European Alliance for Innovation. This book was released on 2022-10-13 with total page 2599 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 2022 International Conference on Information Economy, Data Modeling and Cloud Computing (ICIDC 2022) was successfully held in Qingdao, China from June 17 to 19, 2022. Under the impact of COVID-19, ICIDC 2022 was held adopting a combination of online and offline conference. During this conference, we were greatly honored to have Prof Datuk Dr Hj Kasim Hj Md Mansur from Universiti Malaysia Sabah, Malaysia to serve as our Conference Chairman. And there were 260 individuals attending the conference. The conference agenda was composed of keynote speeches, oral presentations, and online Q&A discussion. The proceedings of ICIDC 2022 cover various topics, including Big Data Finance, E-Commerce and Digital Business, Modeling Method, 3D Modeling, Internet of Things, Cloud Computing Platform, etc. All the papers have been checked through rigorous review and processes to meet the requirements of publication. Data modeling allows us to obtain the dynamic change trend of various indicator data, so how to use big data information to model and study the development trend of economic operation plan is of great significance. And that is exactly the purpose of this conference, focusing on the application of big data in the economic field as well as conducting more profound research in combination with cloud computing.
Download or read book INVESTIGATING STOCK MARKET EFF written by Hua Zhang and published by Open Dissertation Press. This book was released on 2017-01-27 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "Investigating Stock Market Efficiency in China" by Hua, Zhang, 張華, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: Abstract of thesis entitled Investigating Stock Market Efficiency in China submitted by Zhang Hua for the degree of Doctor of Philosophy at the University of Hong Kong in August 2002 Though voluminous studies have been conducted on the stock market efficiency in the U.S. and other developed countries, in China, there lacks a through and systematic study in this respect. This research aims to fill up the lacuna by exploring the important issue of market efficiency in China, with particular emphasis on (1) the earning announcement effect, (2) the size effect, (3) the stock return seasonality, (4) the day-of-the-week effect, (5) mutual fund performance, and (6) the close-end fund puzzle. Our main findings indicate that the Chinese stock market is largely inefficient and it also exhibit some distinctive characteristics in comparison with those documented in previous studies on the U.S. stock markets. First, for the earning announcement effect, it is found that stock prices underreact to earning announcement and stocks with good earning growth in general outperform those with bad earning growth. However, stocks with extreme bad earning news have the best performance after the announcement. Second, study on the size effect shows that stocks of smaller capitalization have higher returns than those of larger capitalization and size has explanatory power on cross-sectional difference in stock returns. Third, regarding the possible seasonality, though average daily returns of every month differ greatly in each year, stock returns do not possess a consistent seasonal pattern across years. As a result, regression analysis rejects the existence of a strong calendar effect in China. Forth, in smaller scale, we find that the day-of-the-week effect exists in China. More specifically, Tuesday return is significantly the lowest and Friday return is significantly the highest; moreover, trading in terms of volume and turnover rate also exhibits some weekly pattern. Fifth, study on mutual fund performance shows that the Chinese mutual funds indeed possess inside information. Though Jensen measures show that mutual funds on average do not have abnormal returns, the result from a 2- factor model that takes the size effect into account suggests that mutual funds' performance is superior. Finally, we examine the close-end fund discount in China. As a counter-example to market efficiency, the close-end fund puzzle in China can not be accounted for by traditional explanatory variables such as liquidity, management fee, and fund performance. Instead, we find that it is closely associated with investor sentiment. DOI: 10.5353/th_b2994654 Subjects: Stocks - Prices - China Stock exchanges - China Efficient market theory
Download or read book Closed end Country Funds and U S Market Sentiment written by James N. Bodurtha and published by . This book was released on 1993 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book FFIT 2022 written by Holger Haldenwang and published by European Alliance for Innovation. This book was released on 2023-04-14 with total page 639 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 2022 International Conference on Financial Innovation, FinTech and Information Technology (FFIT 2022), hosted by Shenzhen University of Technology and organized by the Financial Innovation and Fintech Research Center of Shenzhen University of Technology, was held on October 28-30, 2022 in Shenzhen, China. Due to the current COVID-19 pandemic and the strict travelling rules, it is still difficult to take international travel for all our attendees to participate in the conference. Therefore, FFIT 2022 was held as a hybrid event. FFIT 2022 brought together innovative academics and industrial experts in the field of Financial Innovation, Financial Technology and Information Technology to discuss the latest research results in this field.
Download or read book Investor Sentiment and Stock Return written by Rui Yin and published by . This book was released on 2020 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper creates an investor sentiment index for the Chinese stock market based on the method of Baker and Wurgler. After construction of investor sentiment index, I perform an eyeball test and find similar trend for investor sentiment index and the SSE composite index. Deeper analysis using the granger causality test proves that the change of SSE composite index could lead to the change of investor sentiment index which can be explained by the "policy market" characteristics of Chinese stock market. In order to investigate the effect of investor sentiment on stock returns in terms of different styles of the company, I run a single-factor model and the sentiment beta results show that the change of investor sentiment has significant different effect on the return of stock with different market characteristics such as price, P/E ratio and P/B ratio. It is consistent with the market anomality that behavior finance has demonstrated such as low price effect and herd effect. Overall, it is important for us to take investor sentiment into consideration when investing in the market.
Download or read book China s Stock Market Impact of Investor s Sentiment on Returns of Stocks written by Clement Bill and published by . This book was released on 2022-12-13 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic Paper from the year 2021 in the subject Business economics - Investment and Finance, grade: 99.5, Peking University (BUSINESS INSTITUTE), course: Finance, language: English, abstract: This study examined the effect of investor sentiment on return in the China stock market for a period of nineteen years from 2000 to 2019. The survey used both granger causality and the OLS regression techniques to analyze the data. Accordingly, the findings from the study have revealed that investor sentiment has a remarkable positive impact on stock market returns by examining Treasury bills, consumer price index, and industrial production index. Also, the study has unfolded that unidirectional causality operates from investor sentiment to stock market returns. Reportedly, the study has established that stockholder sentiments have relatively lower explanatory power to returns on the stock market. Finally, this study posits the presence of dynamic correlation between the action of stock future returns and investor sentiment in China causes an increase in stock prices.
Download or read book A Study of the Price and Volatility of Closed end Country Fund Shares and Net Asset Value written by Woojin Hahn and published by . This book was released on 1993 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Proceedings of the 2nd International Conference on Business and Policy Studies written by Canh Thien Dang and published by Springer Nature. This book was released on 2023-10-07 with total page 1874 pages. Available in PDF, EPUB and Kindle. Book excerpt: This proceedings volume contains papers accepted by the 2nd International Conference on Business and Policy Studies (CONF-BPS 2023), which are carefully selected and reviewed by professional reviewers from corresponding research fields and the editorial team of the conference. This volume presents the latest research achievements, inspirations, and applications in applied economy, finance, enterprise management, public administration, and policy studies. CONF-BPS 2023 was a hybrid conference that includes several workshops (offline and online) around the world in Cardiff (Jan, 2023), London(Feb, 2023) and Sydney (Feb, 2023). Prof. Canh Thien Dang from King's College London, Prof. Arman Eshraghi from Cardiff Business School, and Prof. Kristle Romero Cortés from UNSW Business School have chaired those offline workshop.
Download or read book The Chinese Economy written by and published by . This book was released on 2004 with total page 660 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Investor Sentiment Closed end Fund Discounts and the Predictability of Small Firm Returns written by Bhaskaran Swaminathan and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
