Essays In Investor Sentiment
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Essays In Investor Sentiment
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Author : Major Coleman
language : en
Publisher:
Release Date : 2013
Essays In Investor Sentiment written by Major Coleman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
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.
Two Essays On Investor Sentiment
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Author : Haohan Ren
language : en
Publisher:
Release Date : 2018
Two Essays On Investor Sentiment written by Haohan Ren and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Essays On Investor Sentiment And International Finance
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Author : Yanyan Yang
language : en
Publisher:
Release Date : 2018
Essays On Investor Sentiment And International Finance written by Yanyan Yang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Essays On Investor Sentiment And Institutional Trading Momentum
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Author : James Gerard Bulsiewicz
language : en
Publisher:
Release Date : 2016
Essays On Investor Sentiment And Institutional Trading Momentum written by James Gerard Bulsiewicz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with Finance categories.
Essays On Investor Sentiment Mispricing And Cross Section Of Stock Returns
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Author : Xiao Han
language : en
Publisher:
Release Date : 2021
Essays On Investor Sentiment Mispricing And Cross Section Of Stock Returns written by Xiao Han and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
Essays On Investors Sentiment And Attention
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Author : Daniele Ballinari
language : en
Publisher:
Release Date : 2021
Essays On Investors Sentiment And Attention written by Daniele Ballinari and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
The first paper investigates the predictive power of investors' sentiment and attention for the stock returns' volatility. We introduce a novel and extensive dataset that combines information from social media platforms, news articles, search engine data, and information consumption. Applying a state-of-the-art sentiment classification technique, we construct measures of investors' sentiment and attention for 18 U.S. stocks and the financial market in general. We identify investors' attention, as measured by the number of Google searches on financial keywords (e.g. «financial market» and «stock market»), and the daily volume of company-specific short messages posted on the social media platform StockTwits to be the most relevant variables. The second paper investigates a potential driver of the predictive power documented in the first paper. We focus on news releases of 360 U.S. companies from the S&P 500 universe and analyze how investors' attention affects the speed at which new information is incorporated in stock prices. Our results show that higher investors' attention around news releases is related to higher contemporaneous volatility. Further, retail investor attention increases the post-announcement volatility, whereas institutional investor attention has a small but negative impact on volatility on days following news releases. The third paper extends the analysis of the first paper to the multivariate stock return volatility. Building on the theoretical and empirical evidence that links the price comovements with retail investors' behavior, we analyze the predictive power of retail investors' sentiment and attention for the realized correlation matrix of 35 Dow Jones stocks. We propose a new model of realized covariances that allows exogenous predictors to influence the correlation dynamics while ensuring the predicted matrices' positive definiteness. Using this model, we find retail investors' attention to have predictive power for return correlations, especially for longer forecasting horizons and during the COVID-19 pandemic. The last paper analyzes in more detail the time-series properties of the daily online investor sentiment measures used in the first two papers. We detect structural breaks in the sentiment series for most of the 360 U.S. companies considered in this paper. We illustrate the economic significance of this finding with a return prediction exercise.
Two Essays On Investor Sentiment And Equity Offerings
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Author :
language : en
Publisher:
Release Date : 2006
Two Essays On Investor Sentiment And Equity Offerings written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Corporations categories.
Using monthly open-end mutual fund flows as a proxy for investor sentiment, I am able to examine the impact of sentiment on IPO volume and underpricing. I find that issuers' filing decisions are significantly affected by the predicted future sentiment around the expected IPO dates. Furthermore, sentiment has an impact on the final offer price setting and over-allotment options exercised. While previous research documents IPO cycles with respect to other proxies for investor sentiment, I am able to examine IPO cycles and underpricing with respect to sentiment along with investor risk preferences. I hypothesize that a going public firm will try to issue its IPO when investor risk preferences are favorable to the firm's own risk characteristics. Empirical results based on 5,661 initial public offerings between 1986 and 2004 are consistent with my hypotheses that issuers not only time the market with sentiment in general, but also attempt to incorporate investor risk preferences into their going public decisions. Furthermore, underpricing is more severe when firms issue equity during months with large inflows into equity mutual funds. In my second essay, I find that SEO firms appear to time market efficiently because of the shorter filing periods compared to the average 2-3 months of the IPOs. Also, sentiment not only affects a SEO offer price setting but also affects the over-allotment options exercised. I examine two subgroups of the SEO samples: shelf registration and non-shelf SEOs. I find that shelf-registered SEOs incorporate investor sentiment into offering price to a greater degree compared to regular SEOs. Lastly I find that investor risk preference plays a role in firms' decision to file prospectuses with the SEC. In other words, firms rationally decide the timing of filing based on the predicted investor preference and try to match firm characteristics with investor preference around the expected SEO date.
Two Essays On Investor Sentiment And The Profitability Of Contrarian And Momentum Strategies
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Author : Changmei Zhang
language : en
Publisher:
Release Date : 2010
Two Essays On Investor Sentiment And The Profitability Of Contrarian And Momentum Strategies written by Changmei Zhang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Foreign exchange market categories.
Essays On The Impact Of Sentiment On Real Estate Investments
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Author : Anna Mathieu
language : en
Publisher: Springer
Release Date : 2015-11-05
Essays On The Impact Of Sentiment On Real Estate Investments written by Anna Mathieu and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-11-05 with Business & Economics categories.
Anna Mathieu clarifies if real estate decisions are affected by investor and consumer sentiment and how severely the sentiment should be considered. With regard to international capital markets Mathieu conducts an analysis of the impact of investor sentiment on the return of the real estate-specific investment vehicle “Real Estate Investment Trust (REIT)” by applying a GARCH-Model. She investigates the effects of investor sentiment on the return and the underlying volatilities of REITs and Non-REITs during the financial crisis. The hypotheses are tested for validity in a GARCH-Model. Parallel to capital markets and thereby in changing from an indirect Real Estate investment perspective to a direct perspective the author conducts an analysis if consumer sentiment impacts the household decision to buy a new home in the US. Therefore a dataset with 385 monthly observations from 1978 to 2010 is tested by a component model.
Essays On The Relationship Between Investor Sentiment And Real Estate Investment Trusts
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Author : Daniel Huerta
language : en
Publisher:
Release Date : 2013
Essays On The Relationship Between Investor Sentiment And Real Estate Investment Trusts written by Daniel Huerta and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Industrial management categories.