Sentiment And Momentum
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Sentiment And Momentum
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Author : John A. Doukas
language : en
Publisher:
Release Date : 2019
Sentiment And Momentum written by John A. Doukas 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 sheds empirical light on whether sentiment affects the profitability of price momentum strategies. We hypothesize that news that contradicts investors' sentiment causes cognitive dissonance, which slows the diffusion of signals that oppose the direction of sentiment. This phenomenon tends to cause underpricing of losers under optimism and underpricing of winners under pessimism. While the latter phenomenon can be corrected by arbitrage buying, short-selling constraints impede arbitraging of losers under optimism, causing momentum to be stronger in optimistic periods. Our empirical analysis supports this argument by showing that momentum profits arise only under optimism, and are driven principally by strong momentum in losing stocks. This result survives a host of robustness checks including controls for market returns, firm size and analyst following. An analysis of net order flows from small and large trades indicates that small (but not large) investors are slow to sell losers during optimistic periods. Momentum-based hedge portfolios formed during optimistic periods experience long-run reversals.
Market States Investor Sentiment And Momentum Strategies
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Author : Chen Yen Yang
language : en
Publisher:
Release Date : 2016
Market States Investor Sentiment And Momentum Strategies written by Chen Yen Yang 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.
Sentiment And Momentum
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Author : Patrick Dos Reis
language : en
Publisher:
Release Date : 2015
Sentiment And Momentum written by Patrick Dos Reis 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.
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.
Emotions Matter
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Author : Matthias Uhl
language : en
Publisher:
Release Date : 2018
Emotions Matter written by Matthias Uhl 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.
We introduce news sentiment as a variable that can explain and predict subsequent changes in the USD/EUR exchange rate, and therefore close a gap in the foreign exchange literature. By applying the concept of frequency filtering from the domain of electrical engineering, we show an innovative way of filtering for noise in both news sentiment, but also in price momentum. We find that news sentiment is not correlated to price momentum, and that trading strategies based on news sentiment achieve around twice as high information ratios (up to 0.9) than with trading strategies based on price momentum.
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.
Can Investor Sentiment Be A Momentum Time Series Predictor Evidence From China
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Author : Xing Han
language : en
Publisher:
Release Date : 2017
Can Investor Sentiment Be A Momentum Time Series Predictor Evidence From China written by Xing Han 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.
This paper challenges the prevailing view that investor sentiment is a contrarian predictor of market returns at nearly all horizons. As an important piece of "out-of-sample" evidence, we document that investor sentiment in China is a reliable momentum signal at monthly frequency. The strong momentum predictability is robust under both single- and multi-regressor settings, and is statistically and economically significant both in and out of sample, enhancing portfolio performance as shown by our numerical examples. More importantly, we find a striking term structure that local sentiment shifts from a short-term momentum predictor to a contrarian predictor in the long run. Cross-sectional analysis reveals that sentiment is more of a small-firm effect. Finally, we confirm that global sentiment spills over to the local Chinese market, as it predicts negatively future returns over the longer horizons and in the cross section.
Using Social Media And News Sentiment Data To Construct A Momentum Strategy
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Author : Yuke Shi
language : en
Publisher:
Release Date : 2019
Using Social Media And News Sentiment Data To Construct A Momentum Strategy written by Yuke Shi 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.
Momentum strategy is one of the most popular strategies that market participants use to make investment decisions. In the past two decades, many researchers have shown that momentum strategy beats the market, and provides attractive portfolio returns. In this study we investigate Dow Jones Industry Average (DJIA) index and include news data and social media sentiment data to improve the performance of momentum strategy. Particularly, we select StockTwits as the social media source. Four weekly momentum strategies are built and compared over a five-year back-testing period. This research starts with using market data to calculate 5-day Relative Strength Indicator (RSI) that captures the momentum of price. A momentum strategy is constructed based on the overbought/oversold (70/30) signals of RSI proposed by Wilder (1978). Furthermore, the news and social media sentiment data are applied separately to enhance the RSI selections of momentum strategy. News impact scores are used to give more precise evaluations toward news sentiment. Finally, news and social media sentiment data are applied as a double filter to enhance the momentum strategy. The results show that news sentiment and social media data improves the performance of the momentum strategy.
An Analysis Of The Sentiment And Momentum Impact On The Predictability Of The Dax Market
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Author : Margareta Sekulic
language : en
Publisher:
Release Date : 2021
An Analysis Of The Sentiment And Momentum Impact On The Predictability Of The Dax Market written by Margareta Sekulic 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 Momentum Strategies And Investor Sentiment
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Author : Florian Weißofner
language : en
Publisher:
Release Date : 2020*
Essays On Momentum Strategies And Investor Sentiment written by Florian Weißofner 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.