Investor Sentiment And Asset Pricing
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The Role Of Investor Sentiment In Asset Pricing
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Author : Chien-Wei Ho
language : en
Publisher:
Release Date : 2012
The Role Of Investor Sentiment In Asset Pricing written by Chien-Wei Ho and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Stockholders categories.
This thesis investigates various roles that investor sentiment may play in asset pricing. The empirical analysis consists of three main parts based on the role of investor sentiment in the stock markets. The first part discusses the role of investor sentiment as conditioning information. It aims to examine its ability to explain the dynamic nature of the expected returns for individual stocks and its explanatory power capture the financial market anomalies such as the size, value, liquidity, and effects. The second part focuses on the role of investor sentiment as a risk factor. The purpose is to construct a risk factor on the basis of investor sentiment and test whether this proposed sentiment factor is priced and helps to explain the aforementioned financial market anomalies. The third part explores the role of investor sentiment in different international stock markets. It attempts to assess the extent to which investor sentiment affects the stock market volatility and returns of different regions. The results suggest that investor sentiment exhibits explanatory power for cross section of stock returns in the U.S. market. Acting as conditioning information or a risk factor, investor sentiment can generally capture the size and value effects. Furthermore, it can also capture the momentum effect under certain model specifications. The thesis shows that investors require compensation for bearing noise traders; in other words, investor sentiment is a priced factor. At the market level, the impacts of investor sentiment on stock volatility and returns vary across countries. For some countries investor sentiment affects both volatility and returns while for the others investor sentiment has less influence on stock price behaviour. Overall, the findings of the thesis provide empirical evidence that overlooking the role of investor sentiment in classical finance theory could lead to an imperfect picture of describing the stock price behaviour.
Investor Sentiment And Asset Pricing
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Author : Sze Nie Ung
language : en
Publisher:
Release Date : 2020
Investor Sentiment And Asset Pricing written by Sze Nie Ung and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
Investor Sentiment In Asset Pricing Models
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Author : Szymon Lis
language : en
Publisher:
Release Date : 2022
Investor Sentiment In Asset Pricing Models written by Szymon Lis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
Investor Sentiment And Asset Pricing
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Author : Lawrence Olorungbohunmi
language : en
Publisher:
Release Date : 2019
Investor Sentiment And Asset Pricing written by Lawrence Olorungbohunmi 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.
This paper provides insight view of an investor mind dueling on proving the fact that a series of event in a company could cause a dramatic move on to practitioners who wish to forecast market returns based on event occurrences.Using 12 years (2006 to 2018) historical data of Foxconn Company covering all the death occurrences in the company over the past years to predict it impacts on the company stock, data's are collected from yahoo finance. This study used an event study and Dummy variables methodology to test whether or not sentiment impacted market returns.
Media Sentiment And International Asset Prices
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Author : Samuel P. Fraiberger
language : en
Publisher: International Monetary Fund
Release Date : 2018-12-10
Media Sentiment And International Asset Prices written by Samuel P. Fraiberger and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-12-10 with Business & Economics categories.
We assess the impact of media sentiment on international equity prices using more than 4.5 million Reuters articles published across the globe between 1991 and 2015. News sentiment robustly predicts daily returns in both advanced and emerging markets, even after controlling for known determinants of stock prices. But not all news-sentiment is alike. A local (country-specific) increase in news optimism (pessimism) predicts a small and transitory increase (decrease) in local returns. By contrast, changes in global news sentiment have a larger impact on equity returns around the world, which does not reverse in the short run. We also find evidence that news sentiment affects mainly foreign – rather than local – investors: although local news optimism attracts international equity flows for a few days, global news optimism generates a permanent foreign equity inflow. Our results confirm the value of media content in capturing investor sentiment.
Essays On Asset Pricing Implications Of Investor Sentiment
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Author :
language : en
Publisher:
Release Date : 2012
Essays On Asset Pricing Implications Of Investor Sentiment written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Capital assets pricing model categories.
Behavioral Finance And Asset Prices
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Author : David Bourghelle
language : en
Publisher: Springer Nature
Release Date : 2023-04-05
Behavioral Finance And Asset Prices written by David Bourghelle and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-04-05 with Business & Economics categories.
In recent decades, the financial markets have experienced various crises, shocks and disruptive events, driving high levels of volatility. This volatility is too strong to be fully justified simply by changes in fundamentals. This volume discusses these highly relevant issues with special focus on asset pricing and behavioral finance. Financial price assets of the 2020s appear to be driven by various attractors in addition to fundamentals, and there is no doubt that investor emotions, market sentiment, the news, and external factors such as uncertainty all play a key role. This has been clearly observed in recent years, especially during the ongoing coronavirus pandemic that has changed the common perception of the way financial markets work.
Investor Sentiment As Conditioning Information In Asset Pricing
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Author : Jerry C. Ho
language : en
Publisher:
Release Date : 2011
Investor Sentiment As Conditioning Information In Asset Pricing written by Jerry C. Ho 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.
This paper assesses whether incorporating investor sentiment as conditioning information in asset pricing models helps capture the impacts of the size, value, liquidity and momentum effects on risk-adjusted returns of individual stocks. We use survey sentiment measures and a composite index as proxies for investor sentiment. In our conditional framework, the size effect becomes less important in the conditional CAPM and is no longer significant in all the other models examined. Furthermore, the conditional models often capture the value, liquidity and momentum effects.
Trading On Sentiment
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Author : Richard L. Peterson
language : en
Publisher: John Wiley & Sons
Release Date : 2016-03-21
Trading On Sentiment written by Richard L. Peterson and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-03-21 with Business & Economics categories.
In his debut book on trading psychology, Inside the Investor’s Brain, Richard Peterson demonstrated how managing emotions helps top investors outperform. Now, in Trading on Sentiment, he takes you inside the science of crowd psychology and demonstrates that not only do price patterns exist, but the most predictable ones are rooted in our shared human nature. Peterson’s team developed text analysis engines to mine data - topics, beliefs, and emotions - from social media. Based on that data, they put together a market-neutral social media-based hedge fund that beat the S&P 500 by more than twenty-four percent—through the 2008 financial crisis. In this groundbreaking guide, he shows you how they did it and why it worked. Applying algorithms to social media data opened up an unprecedented world of insight into the elusive patterns of investor sentiment driving repeating market moves. Inside, you gain a privileged look at the media content that moves investors, along with time-tested techniques to make the smart moves—even when it doesn’t feel right. This book digs underneath technicals and fundamentals to explain the primary mover of market prices - the global information flow and how investors react to it. It provides the expert guidance you need to develop a competitive edge, manage risk, and overcome our sometimes-flawed human nature. Learn how traders are using sentiment analysis and statistical tools to extract value from media data in order to: Foresee important price moves using an understanding of how investors process news. Make more profitable investment decisions by identifying when prices are trending, when trends are turning, and when sharp market moves are likely to reverse. Use media sentiment to improve value and momentum investing returns. Avoid the pitfalls of unique price patterns found in commodities, currencies, and during speculative bubbles Trading on Sentiment deepens your understanding of markets and supplies you with the tools and techniques to beat global markets— whether they’re going up, down, or sideways.
Individual Investors Sentiments And Asset Pricing
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Author : Abhijeet Chandra
language : en
Publisher:
Release Date : 2012
Individual Investors Sentiments And Asset Pricing written by Abhijeet Chandra and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
Individuals often invest in securities based on approximate rule of thumb, not strictly in tune with market conditions. Their emotions drive their trading behaviour, which in turn drives asset (stock) prices. Investors fall prey to their own mistakes and sometimes others' mistakes, referred to as herd behaviour. Markets are efficient, increasingly proving a theoretical concept as in practice they hardly move efficiently. The purely rational approach is being subsumed by a broader approach based upon the trading sentiments of investors. In this approach, security expected returns are determined by both risk and misvaluation. These are some of the issues of greater relevance to the capital market. The present paper documents the role of emotional biases towards investment (or disinvestment) decisions of individuals, which in turn force stock prices to move. The authors used a questionnaire to judge the impact of emotions on their investment related decisions and conclude that the majority of individual investors often ignore fundamentals of investments and go by their prejudice about the worth of the security in question.