Download or read book Investors Behavior on S P 500 Index During Periods of Market Crashes written by Michail Vamvakaris and published by . This book was released on 2017 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors' behavior in the market is highly related to the properties that financial time series capture. Particularly, nowadays the availability of high frequency datasets provides a reliable source for the better understanding of investors' psychology. The main aim of this chapter is to identify changes in the persistency as well as in the local degree of irreversibility of S&P 500 price-index time series. Thus, by considering the US stock market from 1996 to 2010, we investigate how the Dot.com as well as the Subprime crashes affected investors' behavior. Our results provide evidences that Efficient Market Hypothesis does not hold as the high frequency S&P 500 data can be better modeled by using a fractional Brownian motion. In addition, we report that both crises only temporary effect investors' behavior, and interestingly, before the occurrence of these two major events, the index series exhibited a kind of “nervousness” on behalf of the investors.

Download or read book Quantitative analysis of large stock market crashes written by Victor Odour and published by GRIN Verlag. This book was released on 2014-02-05 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Document from the year 2011 in the subject Business economics - Investment and Finance, grade: A, California State University, East Bay, language: English, abstract: The objective of this study is to structure a dependable model to forecast the timing of entry and exit from the stock markets by using multivariate linear regression analysis. The study uses major macroeconomic indicators such CPI, PPI, GDP, MEI as independent variables and the S&P 500 index value as the dependent variable. The sample consists of 30 years of monthly data. This study includes four different loss scenarios in the S&P 500 index value and analyzes the data to see if the losses can be absorbed or if further losses will occur. This report discusses the practical implications of using regression analysis and how it is used to predict the market movements. This paper concludes that our regression model can help an investor to anticipate market movements and thus make appropriate buy and sell decisions.

Download or read book Why Stock Markets Crash written by Didier Sornette and published by Princeton University Press. This book was released on 2017-03-21 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: The scientific study of complex systems has transformed a wide range of disciplines in recent years, enabling researchers in both the natural and social sciences to model and predict phenomena as diverse as earthquakes, global warming, demographic patterns, financial crises, and the failure of materials. In this book, Didier Sornette boldly applies his varied experience in these areas to propose a simple, powerful, and general theory of how, why, and when stock markets crash. Most attempts to explain market failures seek to pinpoint triggering mechanisms that occur hours, days, or weeks before the collapse. Sornette proposes a radically different view: the underlying cause can be sought months and even years before the abrupt, catastrophic event in the build-up of cooperative speculation, which often translates into an accelerating rise of the market price, otherwise known as a "bubble." Anchoring his sophisticated, step-by-step analysis in leading-edge physical and statistical modeling techniques, he unearths remarkable insights and some predictions--among them, that the "end of the growth era" will occur around 2050. Sornette probes major historical precedents, from the decades-long "tulip mania" in the Netherlands that wilted suddenly in 1637 to the South Sea Bubble that ended with the first huge market crash in England in 1720, to the Great Crash of October 1929 and Black Monday in 1987, to cite just a few. He concludes that most explanations other than cooperative self-organization fail to account for the subtle bubbles by which the markets lay the groundwork for catastrophe. Any investor or investment professional who seeks a genuine understanding of looming financial disasters should read this book. Physicists, geologists, biologists, economists, and others will welcome Why Stock Markets Crash as a highly original "scientific tale," as Sornette aptly puts it, of the exciting and sometimes fearsome--but no longer quite so unfathomable--world of stock markets.

Download or read book Handbook of Investors Behavior during Financial Crises written by Fotini Economou and published by Academic Press. This book was released on 2017-06-24 with total page 516 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Investors' Behavior during Financial Crises provides fundamental information about investor behavior during turbulent periods, such the 2000 dot com crash and the 2008 global financial crisis. Contributors share the same behavioral finance tools and techniques while analyzing behaviors across a variety of market structures and asset classes. The volume provides novel insights about the influence and effects of regional differences in market design. Its distinctive approach to studies of financial crises is of key importance in our contemporary financial landscape, even more so since the accelerated process of globalization has rendered the outbreak of financial crises internationally more commonplace compared to previous decades. Encompasses empirical, quantitative and regulation-motivated studies Includes information about retail and institutional investor behavior Analyzes optimal financial structures for the development and growth of specific regional economies

Download or read book An Introduction to High Frequency Finance written by Ramazan Gençay and published by Elsevier. This book was released on 2001-05-29 with total page 411 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data. This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.

Download or read book Calendar Anomalies in Stock Markets During Financial Crisis The S P 500 Case written by Evangelos Vasileiou and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study we try to briefly revise the day of the week effect (DOW) and to examine why there are conflicting empirical results through the time. Moreover, we try to add a new-alternative view to the specific area of study, adding a further possible explanation in calendar anomalies field of study. Specifically, we try to examine if investors' weekday behavior changes depend on the financial trend. For example, let suppose that there are evidence that Mondays are positive returns days, but there are signs for an upcoming financial crisis. Could this general believed practical rule be strong enough in order to be sustainable even during financial crisis period or does it change? In order to analyze this issue providing empirical support, we examine the US stock market and the S&P index for the time period 2000-13. The results confirm our assumption that the financial trend influences the weekly stock returns' pattern, which may be an alternative explanation for the conflicting empirical findings that have been documented in the literature up today.

Download or read book Investor Reaction in Stock Market Crashes and Post Crash Market Reversals written by Daniel Folkinshteyn and published by . This book was released on 2015 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study investor overreaction using data for five major stock market crashes during the 1987-2008 period. We find some evidence of investor overreaction in all five stock market crashes. The prices of stocks investors bid down more than the average during crashes tend to increase more than the average in post-crash market reversals. In line with CAPM, we find that high beta stocks lose more value in crashes and gain more value in post-crash market reversals relative to low beta stocks. We further find that smaller firms and those with a low market-to-book ratio lose more value in stock market crashes. However, they do not gain more value in post-crash market reversals, implying that investor reaction against these firms in stock market crashes is not an overreaction. In examining industry-specific behavior, our results indicate that investors overbid down the prices of high-tech stocks in the 1997 crash and manufacturing stocks in the 2008 crash relative to other stocks. However, the prices of stocks in these industries increased more than other stocks in the post-crash market reversals, implying investor overreaction for these industries in these stock market crashes.

Download or read book Safety First Retirement Planning written by Wade Donald Pfau and published by Retirement Researcher Guid. This book was released on 2019-10 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: Two fundamentally different philosophies for retirement income planning, which I call probability-based and safety-first, diverge on the critical issue of where a retirement plan is best served: in the risk/reward trade-offs of a diversified and aggressive investment portfolio that relies primarily on the stock market, or in the contractual protections of insurance products that integrate the power of risk pooling and actuarial science alongside investments. The probability-based approach is generally better understood by the public. It advocates using an aggressive investment portfolio with a large allocation to stocks to meet retirement goals. My earlier book How Much Can I Spend in Retirement? A Guide to Investment-Based Retirement Strategies provides an extensive investigation of probability-based approaches. But this investments-only attitude is not the optimal way to build a retirement income plan. There are pitfalls in retirement that we are less familiar with during the accumulation years. The nature of risk changes. Longevity risk is the possibility of living longer than planned, which could mean not having resources to maintain the retiree's standard of living. And once retirement distributions begin, market downturns in the early years can disproportionately harm retirement sustainability. This is sequence-of-returns risk, and it acts to amplify the impacts of market volatility in retirement. Traditional wealth management is not equipped to handle these new risks in a fulfilling way. More assets are required to cover spending goals over a possibly costly retirement triggered by a long life and poor market returns. And yet, there is no assurance that assets will be sufficient. For retirees who are worried about outliving their wealth, probability-based strategies can become excessively conservative and stressful. This book focuses on the other option: safety-first retirement planning. Safety-first advocates support a more bifurcated approach to building retirement income plans that integrates insurance with investments, providing lifetime income protections to cover spending. With risk pooling through insurance, retirees effectively pay an insurance premium that will provide a benefit to support spending in otherwise costly retirements that could deplete an unprotected investment portfolio. Insurance companies can pool sequence and longevity risks across a large base of retirees, much like a traditional defined-benefit company pension plan or Social Security, allowing for retirement spending that is more closely aligned with averages. When bonds are replaced with insurance-based risk pooling assets, retirees can improve the odds of meeting their spending goals while also supporting more legacy at the end of life, especially in the event of a longer-than-average retirement. We walk through this thought process and logic in steps, investigating three basic ways to fund a retirement spending goal: with bonds, with a diversified investment portfolio, and with risk pooling through annuities and life insurance. We consider the potential role for different types of annuities including simple income annuities, variable annuities, and fixed index annuities. I explain how different annuities work and how readers can evaluate them. We also examine the potential for whole life insurance to contribute to a retirement income plan. When we properly consider the range of risks introduced after retirement, I conclude that the integrated strategies preferred by safety-first advocates support more efficient retirement outcomes. Safety-first retirement planning helps to meet financial goals with less worry. This book explains how to evaluate different insurance options and implement these solutions into an integrated retirement plan.

Download or read book Daily Momentum and Contrarian Behavior of Index Fund Investors written by William N. Goetzmann and published by . This book was released on 2000 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use a two-year panel of individual accounts in an S&P 500 index mutual fund to examine the trading and investment behavior of more than 91 thousand investors who have chosen a low-cost, passively managed vehicle for savings. This allows us to characterize investors' heterogeneity in terms of their investment patterns. In particular, we identify positive feedback traders as well as contrarians whose activities are conditional upon preceding day stock market moves. We test the consistency and profitability of these conditional strategies over time. We find that more frequent traders are typically contrarians, while infrequent traders are more typically momentum investors. The dynamics of these investor classes help us to partially examine the question of the marginal investor over the period of our study. We find that the behavior of momentum investors is typically more correlated to changes in the S&P 500 and we trace its dynamics over time. We build up behavioral factors' based on contrarian and momentum flows and show that they perform well against a benchmark of loadings on latent factors extracted from returns. We also use the behavior of momentum and contrarian investors to build a measure of market polarization.' This captures the dispersion of beliefs among the investors and helps to account for asset pricing better than standard measures of dispersion of beliefs

Download or read book Sector Index Returns and the Market written by Bradley T. Ewing and published by . This book was released on 2014 with total page 5 pages. Available in PDF, EPUB and Kindle. Book excerpt: Reliance on stock market sector indexes for investment makes it essential to understand how various sectors behave relative to the market. Of particular importance is whether these relationships have changed over time. This paper examines the risk/return characteristics of five S&P sector indexes in pre- and post-1987 stock market crash periods. The results suggest that, relative to the market, the volatility of some sectors may change following major events. Index investing should not be thought of as a totally passive strategy. In light of these changing relationships, financial planners should make sure clients revisit investments, especially following major economic events.

Download or read book A Wealth of Common Sense written by Ben Carlson and published by John Wiley & Sons. This book was released on 2015-06-22 with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt: A simple guide to a smarter strategy for the individual investor A Wealth of Common Sense sheds a refreshing light on investing, and shows you how a simplicity-based framework can lead to better investment decisions. The financial market is a complex system, but that doesn't mean it requires a complex strategy; in fact, this false premise is the driving force behind many investors' market "mistakes." Information is important, but understanding and perspective are the keys to better decision-making. This book describes the proper way to view the markets and your portfolio, and show you the simple strategies that make investing more profitable, less confusing, and less time-consuming. Without the burden of short-term performance benchmarks, individual investors have the advantage of focusing on the long view, and the freedom to construct the kind of portfolio that will serve their investment goals best. This book proves how complex strategies essentially waste these advantages, and provides an alternative game plan for those ready to simplify. Complexity is often used as a mechanism for talking investors into unnecessary purchases, when all most need is a deeper understanding of conventional options. This book explains which issues you actually should pay attention to, and which ones are simply used for an illusion of intelligence and control. Keep up with—or beat—professional money managers Exploit stock market volatility to your utmost advantage Learn where advisors and consultants fit into smart strategy Build a portfolio that makes sense for your particular situation You don't have to outsmart the market if you can simply outperform it. Cut through the confusion and noise and focus on what actually matters. A Wealth of Common Sense clears the air, and gives you the insight you need to become a smarter, more successful investor.

Download or read book Deep State written by James B. Stewart and published by Penguin. This book was released on 2019-10-08 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: Instant New York Times Bestseller "Important and stunning. This is must-read material if you want to understand what the Trump administration is still up to right now." --Lawrence O'Donnell There are questions that the Mueller report couldn't—or wouldn't—answer. What actually happened to instigate the Russia investigation? Did President Trump’s meddling incriminate him? There’s no mystery to what Trump thinks. He claims that the Deep State, a cabal of career bureaucrats—among them, Andrew McCabe, Lisa Page, and Peter Strzok, previously little known figures within the FBI whom he has obsessively and publically reviled—is concerned only with protecting its own power and undermining the democratic process. Conversely, James Comey has defended the FBI as incorruptible apolitical public servants who work tirelessly to uphold the rule of law. For the first time, bestselling author James B. Stewart sifts these conflicting accounts to present a clear-eyed view of what exactly happened inside the FBI in the lead-up to the 2016 election, drawing on scores of interviews with key FBI, Department of Justice, and White House officialsand voluminous transcripts, notes, and internal reports. In full detail, this is the dramatic saga of the FBI’s simultaneous investigations of both Hillary Clinton and Donald Trump—the first time in American history the FBI has been thrust into the middle of both parties' campaigns for the presidency. Stewart shows what exactly was set in motion when Trump fired Comey, triggering the appointment of Robert Mueller as an independent special counsel and causing the FBI to open a formal investigation into the president himself. And how this unprecedented event joined in ongoing combat two vital institutions of American democracy: the presidency and the Federal Bureau of Investigation. At stake in this epic battle is the rule of law itself, the foundation of the U.S. Constitution. There is no room for compromise, but plenty for collateral damage. The reputations of both sides have already been harmed, perhaps irrevocably, and at great cost to American democracy. Deep State goes beyond the limits of the legally constrained Mueller report, showing how the president’s obsession with the idea of a conspiracy against him is still upending lives and sending shockwaves through both the FBI and the Department of Justice. In this world-historical struggle—Trump versus intelligence agencies—Stewart shows us in rare style what’s real and what matters now. And for the looming 2020 election.

Download or read book Herd Behavior in Financial Markets written by Sushil Bikhchandani and published by . This book was released on 2000 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Lifecycle Investing written by Ian Ayres and published by ReadHowYouWant.com. This book was released on 2010-05 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diversification provides a well-known way of getting something close to a free lunch: by spreading money across different kinds of investments, investors can earn the same return with lower risk (or a much higher return for the same amount of risk). This strategy, introduced nearly fifty years ago, led to such strategies as index funds. What if we were all missing out on another free lunch that’s right under our noses? InLifecycle Investing, Barry Nalebuff and Ian Ayres-two of the most innovative thinkers in business, law, and economics-have developed tools that will allow nearly any investor to diversify their portfolios over time. By using leveraging when young-a controversial idea that sparked hate mail when the authors first floated it in the pages ofForbes-investors of all stripes, from those just starting to plan to those getting ready to retire, can substantially reduce overall risk while improving their returns. InLifecycle Investing, readers will learn How to figure out the level of exposure and leverage that’s right foryou How the Lifecycle Investing strategy would have performed in the historical market Why it will work even if everyone does it Whennotto adopt the Lifecycle Investing strategy Clearly written and backed by rigorous research,Lifecycle Investingpresents a simple but radical idea that will shake up how we think about retirement investing even as it provides a healthier nest egg in a nicely feathered nest.

Download or read book Investment Philosophies written by Aswath Damodaran and published by John Wiley & Sons. This book was released on 2012-06-22 with total page 615 pages. Available in PDF, EPUB and Kindle. Book excerpt: The guide for investors who want a better understanding of investment strategies that have stood the test of time This thoroughly revised and updated edition of Investment Philosophies covers different investment philosophies and reveal the beliefs that underlie each one, the evidence on whether the strategies that arise from the philosophy actually produce results, and what an investor needs to bring to the table to make the philosophy work. The book covers a wealth of strategies including indexing, passive and activist value investing, growth investing, chart/technical analysis, market timing, arbitrage, and many more investment philosophies. Presents the tools needed to understand portfolio management and the variety of strategies available to achieve investment success Explores the process of creating and managing a portfolio Shows readers how to profit like successful value growth index investors Aswath Damodaran is a well-known academic and practitioner in finance who is an expert on different approaches to valuation and investment This vital resource examines various investing philosophies and provides you with helpful online resources and tools to fully investigate each investment philosophy and assess whether it is a philosophy that is appropriate for you.

Download or read book Forecasting Examples for Business and Economics Using the SAS System written by SAS Institute and published by Sas Inst. This book was released on 1996 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerous step-by-step examples show you--the economist, business forecaster, student, or researcher--how to use SAS to generate forecasts for a variety of business and economic data. Examples are based on both time series models and econometric models. You'll learn how to use SAS to forecast time series data using Box-Jenkins ARIMA methodology; develop and forecast transfer functions and intervention models; fit and forecast regression models with autocorrelated, heteroskedastic, and ARCH-GARCH error terms; estimate nonlinear regression models; create forecast confidence limits using Monte Carlo simulation; and more! The main focus of the book is on the code-based procedures in SAS/ETS software, but this book also provides an introduction to the interactive Time Series Forecasting System, and it shows how to plot data and forecasts with SAS/GRAPH software.

Download or read book How Novelty and Narratives Drive the Stock Market written by Nicholas Mangee and published by Cambridge University Press. This book was released on 2021-10-14 with total page 451 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Animal spirits' is a term that describes the instincts and emotions driving human behaviour in economic settings. In recent years, this concept has been discussed in relation to the emerging field of narrative economics. When unscheduled events hit the stock market, from corporate scandals and technological breakthroughs to recessions and pandemics, relationships driving returns change in unforeseeable ways. To deal with uncertainty, investors engage in narratives which simplify the complexity of real-time, non-routine change. This book assesses the novelty-narrative hypothesis for the U.S. stock market by conducting a comprehensive investigation of unscheduled events using big data textual analysis of financial news. This important contribution to the field of narrative economics finds that major macro events and associated narratives spill over into the churning stream of corporate novelty and sub-narratives, spawning different forms of unforeseeable stock market instability.