Small Investor Sentiment Differences Of Opinion And Stock Overvaluation
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Small Investor Sentiment Differences Of Opinion And Stock Overvaluation
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Author : Xiaolin Qian
language : en
Publisher:
Release Date : 2014
Small Investor Sentiment Differences Of Opinion And Stock Overvaluation written by Xiaolin Qian 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.
Recent research shows that small trade imbalances are negatively associated with future stock returns. I find that this negative association only exists when stocks have initially been mispriced. In addition, mispricing occurs before the sentimental trading of small investors. In stocks with high opinion divergence, buying pressure from small investors deters the realization of negative information. Therefore, trades from retail investors do not directly cause mispricing, but they prevent price discovery and facilitate mispricing.
Expectations And The Structure Of Share Prices
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Author : John G. Cragg
language : en
Publisher: University of Chicago Press
Release Date : 2009-05-15
Expectations And The Structure Of Share Prices written by John G. Cragg and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-05-15 with Business & Economics categories.
John G. Cragg and Burton G. Malkiel collected detailed forecasts of professional investors concerning the growth of 175 companies and use this information to examine the impact of such forecasts on the market evaluations of the companies and to test and extend traditional models of how stock market values are determined.
Handbook Of The Economics Of Finance Set Volumes 2a 2b
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Author : George M. Constantinides
language : en
Publisher: Newnes
Release Date : 2013-01-21
Handbook Of The Economics Of Finance Set Volumes 2a 2b written by George M. Constantinides and has been published by Newnes this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-01-21 with Business & Economics categories.
This two-volume set of 23 articles authoritatively describes recent scholarship in corporate finance and asset pricing. Volume 1 concentrates on corporate finance, encompassing topics such as financial innovation and securitization, dynamic security design, and family firms. Volume 2 focuses on asset pricing with articles on market liquidity, credit derivatives, and asset pricing theory, among others. Both volumes present scholarship about the 2008 financial crisis in contexts that highlight both continuity and divergence in research. For those who seek insightful perspectives and important details, they demonstrate how corporate finance studies have interpreted recent events and incorporated their lessons. Covers core and newly-developing fields Explains how the 2008 financial crises affected theoretical and empirical research Exposes readers to a wide range of subjects described and analyzed by the best scholars
Support Vector Machines
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Author : Naiyang Deng
language : en
Publisher: CRC Press
Release Date : 2012-12-17
Support Vector Machines written by Naiyang Deng and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-17 with Business & Economics categories.
Support Vector Machines: Optimization Based Theory, Algorithms, and Extensions presents an accessible treatment of the two main components of support vector machines (SVMs)-classification problems and regression problems. The book emphasizes the close connection between optimization theory and SVMs since optimization is one of the pillars on which
Behavioral Corporate Finance
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Author : Hersh Shefrin
language : en
Publisher: College Ie Overruns
Release Date : 2017-04-16
Behavioral Corporate Finance written by Hersh Shefrin and has been published by College Ie Overruns this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-04-16 with Corporations categories.
Retail Investor Sentiment And Behavior
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Author : Matthias Burghardt
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-03-16
Retail Investor Sentiment And Behavior written by Matthias Burghardt 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 2011-03-16 with Business & Economics categories.
Using a unique data set consisting of more than 36.5 million submitted retail investor orders over the course of five years, Matthias Burghardt constructs an innovative retail investor sentiment index. He shows that retail investors’ trading decisions are correlated, that retail investors are contrarians, and that a profitable trading strategy can be based on these aggregated sentiment measures.
Investment Intelligence From Insider Trading
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Author : H. Nejat Seyhun
language : en
Publisher: MIT Press
Release Date : 2000-02-28
Investment Intelligence From Insider Trading written by H. Nejat Seyhun and has been published by MIT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-02-28 with Business & Economics categories.
Learn how to profit from information about insider trading. The term insider trading refers to the stock transactions of the officers, directors, and large shareholders of a firm. Many investors believe that corporate insiders, informed about their firms' prospects, buy and sell their own firm's stock at favorable times, reaping significant profits. Given the extra costs and risks of an active trading strategy, the key question for stock market investors is whether the publicly available insider-trading information can help them to outperform a simple passive index fund. Basing his insights on an exhaustive data set that captures information on all reported insider trading in all publicly held firms over the past twenty-one years—over one million transactions!—H. Nejat Seyhun shows how investors can use insider information to their advantage. He documents the magnitude and duration of the stock price movements following insider trading, determinants of insiders' profits, and the risks associated with imitating insider trading. He looks at the likely performance of individual firms and of the overall stock market, and compares the value of what one can learn from insider trading with commonly used measures of value such as price-earnings ratio, book-to-market ratio, and dividend yield.
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Author : 谢志龙
language : zh-CN
Publisher: 西南财经大学出版社（崧博）
Release Date : 2019-08-01
written by 谢志龙 and has been published by 西南财经大学出版社（崧博） this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-08-01 with Business & Economics categories.
截至2017年年底,中国证券市场的上市公司数量已达到3,485家,总市值达到567,086.077亿元。证券市场已经成为中国国民经济的重要组成部分。证券市场是“国民经济的晴雨表”,证券市场的稳定不仅是经济健康发展的基石,同时在维护社会稳定、防范系统性金融风险方面也发挥着重要的作用。 党的十九大和2018年全国“两会”明确指出,我国未来的风险主要在金融领域,要防范金融风险。现在证券监管部门已经把监控作为了第一要务。 中国在短短的28年间经历了多次的“牛” “熊”更替,其中的主要原因是投资者情绪过度乐观或者过度恐慌,“追涨杀跌” “盲目跟风” “羊群效应”等造成了证券市场的大幅波动。市场情绪是各类投资者情绪的综合体现,在中国证券市场中,个人投资者占比为99.73%,其情绪将对市场产生巨大的影响,并且个人投资者的情绪化交易行为相对于机构投资者来说更加普遍。现代行为金融学认为,股票价格不仅仅由股票的内在价值决定,受信息影响的投资者的心理与行为对股票的价格决定和变动也具有重大影响。 通过对现有文献的梳理发现,目前研究投资者的情绪对证券市场波动影响时,通常使用间接情绪指标和直接情绪指标对投资者情绪进行测量。间接情绪指标采用客观的测量来从侧面反映投资者的情绪,但由于其基于历史交易数据构建,在衡量投资者情绪时有明显的滞后性;直接情绪指标可通过对投资者进行问卷调查获得,但调查时的情绪不代表其投资决策时的情绪,这样测量的误差较大,并且调查成本较高。 随着互联网的出现和发展,人们获取信息更加便利和快捷。互联网已经成了人们最主要的信息获取渠道。投资者在各社会化媒体平台中获取、发布和传播证券市场相关信息,其中蕴含着大量投资者的情绪。爆炸式的媒体信息吸引了学术界和业界大量研究人员尝试使用自然语言处理技术和传统机器学习模型来挖掘媒体信息中的投资者情绪以及分析其对证券市场波动的影响。然而受信息技术和跨学科领域的限制,目前的相关研究对社会化媒体信息挖掘的角度不够完整,提取的投资者情绪不具代表性,使用的分析方法已无法适用于大数据背景下海量社会化媒体对证券市场影响的研究。 因此,本书利用定向分布式爬虫从社会化媒体平台获取完整的文本信息,提出中文语句卷积神经网络(Chinese Sentence Convolutional Neural Network, CSCNN)核心算法可以根据中文语法和语义结构提取文本情绪,结合社会化媒体文本信息的结构特点构建出社会化媒体投资者情绪指数(Social Media Investor Sentiment Index, SMISI),在基于社会化媒体情绪驱动的长短期记忆深度神经网络(Sentiment-driven Long Short-Term Memory, SLSTM)核心算法基础上搭建证券市场的社会化媒体效应量化智能平台(Social Media Quantitative Intelligent Platform, SMQIP),用于探析社会化媒体投资者情绪对证券市场影响的深度和广度。 从结构上看,本书由八章组成,具体内容为: 第1章 导论,主要介绍选题背景、研究的意义、研究的思路和方法、全书的结构安排以及主要创新点。 第2章 文献综述,主要对社会化媒体量化、市场情绪和社会化媒体对证券市场波动影响三个方面的理论和文献进行了系统的回顾和梳理。本章为研究社会化媒体量化、剖析社会化媒体信息与证券市场波动和防范系统性金融风险研究提供了强有力的支持和论证。 第3章 系统总体设计,从系统总体设计的角度,自上向下对本书的逻辑模块和流程进行概述,对系统的数据处理流程进行说明,明确证券市场社会化媒体效应智能解决方案中模块之间的关系,理顺系统从数据抓取到文本信息处理情感提取,再到利用深度学习神经网络对社会化媒体与证券市场波动的影响进行关联分析的流程,以确保系统模块完整和研究顺利推进。 第4章 社会化媒体量化与投资者情绪提取研究,主要对社会化媒体文本信息量化和投资者情绪的提取进行研究。首先对社会化媒体信息的抓取、过滤、预处理和词汇量化过程进行了描述;随后提出依据中文语句的语法和语义结构构建中文语句卷积神经网络(CSCNN)核心算法对文本情感极性进行判定;接着对情感判定模型进行了比较研究。 第5章 投资者情绪指数的构造,借鉴传统指数构造原理,利用社会化媒体平台文本信息结构特点,创新性地提出基于内容相似度矩阵、引用关系矩阵和回复关系矩阵的社会化媒体文本语句权重SentenceRank算法计算语句权重,结合用户影响力因子、阅读数量因子和点赞数量因子,构造了社会化媒体投资者情绪指数(SMISI),为后续研究提供了重要的特征变量。 第6章 SMISI对证券市场波动的量化研究,通过实证研究,首先将SMISI与Fama五因子模型结合,验证了SMISI对证券市场收益率的系统性影响;接着利用VAR 模型研究SMISI对证券市场波动影响的深度和广度。随后提出基于社会化媒体情绪驱动的S-LSTM 深度神经网络模型核心算法,更加准确地捕捉社会化媒体投资者情绪对证券市场的影响效应,并通过模拟的方式验证了SMISI在量化投资中应用的可行性。 第7章 面向证券市场策略的SMQIP检验与分析,从市场监管者、上市公司和投资者三个不同的角度剖析了社会化媒体信息引导市场情绪,导致证券市场资产价格波动,甚至影响金融稳定的内在机理。并利用具体案例从以上三个角度分别验证了基于大数据的证券市场社会化媒体效应量化智能平台(SMQIP)的应用可行性。 第8章 总结、不足与研究展望,对全书进行了总结,对研究中存在的不足进行了分析和反思,对于金融智能领域的研究热点和方向以及未来可能进行的研究计划进行了展望。 本书在现有研究的基础之上,沿着“社会化媒体———投资者情绪———证券市场波动”的主线,对基于大数据的证券市场媒体效应进行了量化分析,主要的创新之处有以下三个方面: 第一,提出了一个基于深度学习的公众情绪文本挖掘方法,综合考虑文本内容和质量的影响,以捕捉社会化媒体中的公众情绪。本书利用中文语句卷积神经网络对证券市场环境下的文本信息进行情感判定,结合社会化媒体结构特性,创新性地提出一套基于信息内容和发布结构的公众情绪提取方法,利用论坛特有的结构即发帖、回复、转发和引用等构建内容和结构的关联图,进而得到综合关联关系矩阵,从散乱的、高噪音的论坛信息讨论中挖掘出主导性言论。综合考虑社会化媒体信息的重要性和情感极性,提取出公众对上市公司、板块或整体市场的情绪倾向。 第二,基于社会化媒体大数据,研究和优化了证券市场情绪指数的构建方法。本书创新性地利用统计学中指数构造原理,对正面情绪和负面情绪给予不同权重,构造了证券市场的社会化媒体投资者情绪指数(SMISI),并结合证券市场历史交易数据,从大数据角度系统剖析社会化媒体对证券市场波动的影响机理和传导机制,为金融学领域经典问题的研究提供了大数据驱动的探索思路;同时,结合成分股的社会化媒体情感指数,细分了社会化媒体主板情感指数、中小板情感指数和创业板情感指数等。这些指数对于金融市场监管者监控证券市场波动、上市公司决策和投资者投资组合时都有重要的参考价值。 第三,集成情绪判定、文本赋权和情绪指数市场效应评估等核心算法,构建了情绪对证券市场波动影响分析的系统原型,并应用于本书的研究中。本书开创性地通过以社会化媒体情绪为驱动的时序神经网络,通过改造LSTM单元,增加情绪增强门,改变了遗忘门、输入门和输出门数据结构,解决了深度神经网络中连续时序数据和离散时序数据融合的问题。基于此搭建的基于大数据的证券市场社会化媒体效应量化智能平台(SMQIP),可以为市场监管机构、上市公司、投资者以及相关领域研究者提供理论参考和决策支持。以社会化媒体情绪为驱动的时序神经网络结构也可为其他领域对连续时序数据和离散时序数据问题的解决开拓新的思路。
Contrarian Investment Strategies
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Author : David Dreman
language : en
Publisher: Simon and Schuster
Release Date : 2012-01-10
Contrarian Investment Strategies written by David Dreman and has been published by Simon and Schuster this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-01-10 with Business & Economics categories.
Introduces important new findings in psychology to demonstrate why most investment strategies are flawed, outlining atypical strategies designed to prevent over- and under-valuations while crash-proofing a portfolio.
Growth Or Glamour
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Author : John Y. Campbell
language : en
Publisher:
Release Date : 2005
Growth Or Glamour written by John Y. Campbell and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Stocks categories.
The cash flows of growth stocks are particularly sensitive to temporary movements in aggregate stock prices (driven by movements in the equity risk premium), while the cash flows of value stocks are particularly sensitive to permanent movements in aggregate stock prices (driven by market-wide shocks to cash flows.) Thus the high betas of growth stocks with the market's discount-rate shocks, and of value stocks with the market's cash-flow shocks, are determined by the cash-flow fundamentals of growth and value companies. Growth stocks are not merely "glamour stocks" whose systematic risks are purely driven by investor sentiment. More generally, accounting measures of firm-level risk have predictive power for firms' betas with market-wide cash flows, and this predictive power arises from the behavior of firms' cash flows. The systematic risks of stocks with similar accounting characteristics are primarily driven by the systematic risks of their fundamentals.