Investor Sentiment And The Seo Pricing Process
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Investor Sentiment And The Seo Pricing Process
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Author : Xiaoying Deng
language : en
Publisher:
Release Date : 2018
Investor Sentiment And The Seo Pricing Process written by Xiaoying Deng 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.
Using real estate investment trusts as a unique laboratory, we investigate the impact of investor sentiment on seasoned equity offering (SEO) price dynamics. Evidence indicates that investor sentiment is positively related to pre-SEO overpricing and probability of issuance. SEOs issued in high sentiment periods have larger discounts and higher first day returns. We also find that high sentiment periods are followed by low long-run returns, suggesting that sentiment does not proxy for unobservable fundamentals. Overall, our findings are consistent with market timing and behavioral explanations for equity offerings.
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
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Author : Chui Shan Nicky Cheung
language : en
Publisher:
Release Date : 2014
Investor Sentiment written by Chui Shan Nicky Cheung 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.
Investor sentiment has long been a popular subject of research. This thesis aims to investigate its impacts on stock prices in France, Germany and Switzerland which were rarely studied. Should investor sentiment be priced, stocks with higher sensitivity to investor sentiment should outperform their counterparts with lower sensitivity, for example. In gauging the investor sentiments, I gathered various market proxies and composed a sentiment index SENTIMENT for each country and estimated the sentiment beta called &u946_SENTIMENT with a four-factor regression model. The stocks are assigned to quintiles by ranking their respective &u946_SENTIMENT. My results provide evidence that in France and Switzerland, low &u946_SENTIMENT stocks outperform high &u946_SENTIMENT stocks while in Germany, excess returns increase with &u946_SENTIMENT but the trend reverses when &u946_SENTIMENT reaches the (historical) top range. On a side note, German investors are more sensitive to market sentiment than Swiss investors, with French investors being the least sensitive.
Google Based Investor Sentiment And Its Implementation Into A Trading Strategy
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Author : Martin Oehry
language : en
Publisher:
Release Date : 2012
Google Based Investor Sentiment And Its Implementation Into A Trading Strategy written by Martin Oehry 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.
Sentiment Strategies
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Author : Xuewu Wesley Wang
language : en
Publisher:
Release Date : 2004
Sentiment Strategies written by Xuewu Wesley Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
This paper documents the profitability of the sentiment strategies. Using the aggregate closed-end fund discount as a proxy for investor sentiment, we construct a simple sentiment strategy on the basis of the exposure of stock returns to the closed-end fund discount. The sentiment strategies buy stocks with highest exposure to closed-end fund discount and sell stocks with lowest exposure to closed-end fund discount in the past 36 months. We show that such a strategy can lead to an annualized profit of 11 percent. We also explore the source of the profitability and find that neither market risk nor momentum anomaly can account for the profitability. However, the traditional 4-factor asset pricing model when augmented with an additional sentiment factor can account for the profit. We interpret this finding as supportive evidence that the pricing of the investor sentiment risk may be a potentially useful explanation for the profitability.
The Impact Of Sentiment On Price Discovery
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Author : Jeffrey Coulton
language : en
Publisher:
Release Date : 2015
The Impact Of Sentiment On Price Discovery written by Jeffrey Coulton 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.
We study how investor sentiment a ects the speed with which prices reflect information. Price discovery is more timely for firms with greater sensitivity to sentiment, as measured by a sentiment beta. Our research improves our understanding of the price formation process when sentiment is not assumed to be constant. Our research design is novel as it considers a sentiment beta as well as economy-wide sentiment. This provides more comprehensive evidence on the impact of differing types of sentiment on the price formation process.
Trading On Sentiment
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Author : Richard L. Peterson
language : en
Publisher: John Wiley & Sons
Release Date : 2016-03-02
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 2016-03-02 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.
The Implications Of Individual Investor Behavior For The Pricing Of Closed End Funds And Small Firms
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Author : Bhaskaran Swaminathan
language : en
Publisher:
Release Date : 1994
The Implications Of Individual Investor Behavior For The Pricing Of Closed End Funds And Small Firms written by Bhaskaran Swaminathan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Stocks categories.
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.
The Investor Sentiment And The Profitability Of Momentum Strategy
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Author : Monica Widyassari
language : en
Publisher:
Release Date : 2019
The Investor Sentiment And The Profitability Of Momentum Strategy written by Monica Widyassari 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.