Information Content And Forecasting Ability Of Sentiment Indicators
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Information Content And Forecasting Ability Of Sentiment Indicators
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Author : Gianluca Marcato
language : en
Publisher:
Release Date : 2014
Information Content And Forecasting Ability Of Sentiment Indicators written by Gianluca Marcato and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
We evaluate a number of real estate sentiment indices to ascertain current and forward-looking information content that may be useful for forecasting demand and supply activities. Analyzing the dynamic relationships within a Vector Auto-Regression (VAR) framework and using the quarterly US data over 1988-2010, we test the efficacy of several sentiment measures by comparing them with other coincident economic indicators. Overall, our analysis suggests that the sentiment in real estate convey valuable information that can help predict changes in real estate returns. These findings have important implications for investment decisions, from consumers' as well as institutional investors' perspectives.
The Information Content Of The Sentiment Index
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Author : Steven Sibley
language : en
Publisher:
Release Date : 2015
The Information Content Of The Sentiment Index written by Steven Sibley and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
The widely-used Baker and Wurgler (2006) sentiment index is strongly correlated with business cycle variables, especially the short interest rate and Lee (2011) liquidity risk factor. The power of the sentiment index to predict cross-sectional stock returns is mainly driven by its information content related to these business cycle variables. About 63% percent of the total variation in the investor sentiment index can be explained by well-known, contemporaneous risk/business cycle variables. We decompose the widely used investor sentiment index into two components: one related to standard risk/business cycle variables and the other unrelated to those variables. We show that the power of the sentiment index to predict cross-sectional stock returns is mainly driven by the risk/business cycle component, while the residual component has little significance in predicting cross-sectional stock returns.
Investor Sentiment And Forecasting Ability
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Author : Yang Zhang
language : en
Publisher:
Release Date : 2017
Investor Sentiment And Forecasting Ability written by Yang Zhang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Exploring the information contained in Commodity Futures Trading Commission's (CFTC) Commitments of Traders (COT) reports, this analysis investigates the forecasting ability of investor sentiment index in three major precious metal futures markets, namely, Gold, Silver, and Platinum. A strong contemporaneous relationship between investor sentiment and market returns has been found. In specific, commercial traders' sentiment acts oppositely to the price changes while that of non-commercial and non-reporting traders positively correlated with the market returns. However, the bivariate Granger causality test shows little evidence that investor sentiment index could lead market returns. On the other hand, market returns generally lead investor sentiment. Particularly, commercial traders are trend counters while non-commercial and non-reporting traders are trend followers. Extreme traders' position also fails to display significant forecasting ability of subsequent price movements. In general, the results do not support the use of investor sentiment as an indicator to predict price movements in precious metal futures markets. Nevertheless, we find that investor sentiment could play as a signal of buying or selling and the trading system is highly profitable compared to naïve long position in all of three markets.
Using Economic Indicators In Analysing Financial Markets
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Author : Bernd Krampen
language : en
Publisher: Emerald Group Publishing
Release Date : 2023-01-27
Using Economic Indicators In Analysing Financial Markets written by Bernd Krampen and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-01-27 with Business & Economics categories.
Using Economic Indicators in Analysing Financial Markets is an invaluable resource for investors, strategists, policymakers, students, and private investors worldwide who want to understand the true meaning of the latest economic trends to make the best decisions for future profits on financial markets.
Residential Real Estate
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Author : Anupam Nanda
language : en
Publisher: Routledge
Release Date : 2019-03-20
Residential Real Estate written by Anupam Nanda and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-03-20 with Business & Economics categories.
Residential Real Estate introduces readers to the economic fundamentals and emerging issues in housing markets. The book investigates housing market issues within local, regional, national and international contexts in order to provide students with an understanding of the economic principles that underpin residential property markets. Key topics covered include: Location choice in urban areas Housing supply and demand Housing finance and housing as an asset class Demographic shifts and implications for housing Sustainable homes and digitalisation in housing Drawing on market-level information, readers are encouraged to recognise the supply and demand drivers and modelling of dynamic housing markets at various spatial scales and the implications of trends within an urban and regional context, e.g. urbanisation, ageing population, migration, digitalisation. With research-based discussions and coverage of relevant literature, this is an ideal textbook for students of residential real estate, property and related business studies courses at UG and PG levels, as well as a reference book with research topics for researchers. This book will also be of interest to professionals and policymakers.
Liquidity And Asset Prices
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Author : Yakov Amihud
language : en
Publisher: Now Publishers Inc
Release Date : 2006
Liquidity And Asset Prices written by Yakov Amihud and has been published by Now Publishers Inc this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Business & Economics categories.
Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
Handbook Of Economic Forecasting
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Author : Graham Elliott
language : en
Publisher: Elsevier
Release Date : 2013-10-24
Handbook Of Economic Forecasting written by Graham Elliott and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-24 with Business & Economics categories.
The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics
Intelligence And Security Informatics
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Author : Hsinchun Chen
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-04-03
Intelligence And Security Informatics written by Hsinchun Chen and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-04-03 with Business & Economics categories.
This book constitutes the refereed proceedings of the Pacific Asia Workshop on Intelligence and Security Informatics, PAISI 2009, held in Bangkok, Thailand, in April 2009. The 10 revised full papers, 7 revised short papers together with 1 keynote lecture were carefully reviewed and selected from numerous submissions. The papers are organized in topical sections on terrorism informatics and crime analysis enterprise risk management emergency response and surveillance information access and security, as well as data and text mining.
Progress In Artificial Intelligence
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Author : Luis Miguel Correia
language : en
Publisher: Springer
Release Date : 2013-09-04
Progress In Artificial Intelligence written by Luis Miguel Correia and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-09-04 with Computers categories.
This book constitutes the refereed proceedings of the 16th Portuguese Conference on Artificial Intelligence, EPIA 2013, held in Angra do Heroísmo, Azores, Portugal, in September 2013. The 45 revised full papers presented were carefully reviewed and selected from a total of 157 submissions. The papers are organized in the following topical sections: ambient intelligence and affective environments; artificial intelligence in transportation systems; artificial life and evolutionary algorithms; computational methods in bioinformatics and systems biology; general artificial intelligence; intelligent robotics; knowledge discovery and business intelligence; multi-agent systems: theory and applications; social simulation and modeling; and text mining and applications.
Mexican Financial System
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Author :
language : en
Publisher:
Release Date : 1993
Mexican Financial System written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Finance categories.