Essays On Investors Sentiment And Attention

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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.

Essays On Investor Attention

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Author : Hongqi Liu
language : en
Publisher:
Release Date : 2016

Essays On Investor Attention written by Hongqi Liu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.

Essays On Investor Attention

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Author : Milica Matovic
language : en
Publisher:
Release Date : 2019

Essays On Investor Attention written by Milica Matovic and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.

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.

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.

Empirical Essays On The Stock Market Impact Of Limited Investor Attention

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Author : Heiko Jacobs
language : en
Publisher:
Release Date : 2011

Empirical Essays On The Stock Market Impact Of Limited Investor Attention written by Heiko Jacobs and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 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.

Behavioral Explanations Of Investors Trading In Financial Markets

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Author : Mohammed Saad H Alhashim
language : en
Publisher:
Release Date : 2021

Behavioral Explanations Of Investors Trading In Financial Markets written by Mohammed Saad H Alhashim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with Behavioral assessment categories.

In the first essay, I examine the effect of social media sentiment on the trading behavior of individual investors. I document a positive association between sentiment and retail order imbalances (i.e., individual investors tend to buy more than they sell as they become more optimistic about stocks). The association between retail investor activity and sentiment is stronger for hard-to-value stocks (small cap, low institutional ownership, and low analyst coverage firms). Finally, the association between retail order imbalances and stock returns exists only in conjunction with investor sentiment. In the second essay, I consider the effect of firm-level sentiment extracted from a social network platform on the presence of herding behavior in the US equity market. Applying a quantile regression model enables me to investigate the existence of herding during both quiet periods and extreme market movements. I also benefit from using different sampling frequencies (daily, weekly, and monthly) for detecting investor herding. I document an asymmetric association between herding and investor sentiment. Herding is present in low-optimism portfolios but not in high-optimism portfolios. I also find evidence of herding in intermediate quantiles (i.e., relatively quiet market periods but not during extreme market movements). The degree of investor attention has a moderating impact on the relationship between investor optimism and the tendency to herd, with herding being more intense among low-optimism stocks. I also find evidence that trading volume drives herding behavior. In the third essay, I estimate the impact of investor sentiment in the stock market on the return and volatility spillover risks between real estate investment trusts (REITs) and a broader equity index. The total return spillover risk from equity market to real estate is higher for low-optimism portfolios (45.76%) relative to high-optimism portfolios (41.41%). I do not document any significant impact of investor sentiment on the volatility spillover risk between REITs and the equity market (34.85% versus 34.17%). My results highlight the importance of considering investor sentiment in the stock market when constructing multi-asset portfolios that include REITs in addition to other asset classes.

Essays On Learning And Investor Behavior

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Author : Juhani Linnainmaa
language : en
Publisher:
Release Date : 2006

Essays On Learning And Investor Behavior written by Juhani Linnainmaa and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Day trading (Securities) categories.