Two Essays On Investor Sentiment
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Two Essays On Investor Sentiment
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Author : Haohan Ren
language : en
Publisher:
Release Date : 2018
Two Essays On Investor Sentiment written by Haohan Ren 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.
Two Essays On Investor Sentiment And The Profitability Of Contrarian And Momentum Strategies
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Author : Changmei Zhang
language : en
Publisher:
Release Date : 2010
Two Essays On Investor Sentiment And The Profitability Of Contrarian And Momentum Strategies written by Changmei Zhang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Foreign exchange market categories.
Two Essays On Investor Sentiment And Equity Offerings
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Author :
language : en
Publisher:
Release Date : 2006
Two Essays On Investor Sentiment And Equity Offerings written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Corporations categories.
Using monthly open-end mutual fund flows as a proxy for investor sentiment, I am able to examine the impact of sentiment on IPO volume and underpricing. I find that issuers' filing decisions are significantly affected by the predicted future sentiment around the expected IPO dates. Furthermore, sentiment has an impact on the final offer price setting and over-allotment options exercised. While previous research documents IPO cycles with respect to other proxies for investor sentiment, I am able to examine IPO cycles and underpricing with respect to sentiment along with investor risk preferences. I hypothesize that a going public firm will try to issue its IPO when investor risk preferences are favorable to the firm's own risk characteristics. Empirical results based on 5,661 initial public offerings between 1986 and 2004 are consistent with my hypotheses that issuers not only time the market with sentiment in general, but also attempt to incorporate investor risk preferences into their going public decisions. Furthermore, underpricing is more severe when firms issue equity during months with large inflows into equity mutual funds. In my second essay, I find that SEO firms appear to time market efficiently because of the shorter filing periods compared to the average 2-3 months of the IPOs. Also, sentiment not only affects a SEO offer price setting but also affects the over-allotment options exercised. I examine two subgroups of the SEO samples: shelf registration and non-shelf SEOs. I find that shelf-registered SEOs incorporate investor sentiment into offering price to a greater degree compared to regular SEOs. Lastly I find that investor risk preference plays a role in firms' decision to file prospectuses with the SEC. In other words, firms rationally decide the timing of filing based on the predicted investor preference and try to match firm characteristics with investor preference around the expected SEO date.
Essays In Investor Sentiment
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Author : Major Coleman
language : en
Publisher:
Release Date : 2013
Essays In Investor Sentiment written by Major Coleman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Chapter 1. If investors choose consumption and investment levels jointly to maximize expected utility or value, then investor sentiment about stock returns should be reflected in consumption choices. I find a positive contemporaneous relationship between aggregate consumption of nondurables and investor stock sentiment. Investors' false perceptions of changes in stock market wealth appear to move consumption in the same direction initially. But as expected stock returns do not materialize, sentiment-based consumption is reversed. On average, this reversal occurs two to four years later, which coincides with the time it takes for sentiment to correct from prior levels. Sentiment does not positively predict returns as a positive proxy of rational expectations of risk would. Nor does sentiment negatively predict the covariance between consumption growth and returns as an inverse proxy for rational expectations of risk would. The results suggest that bias in investor expectations is an important factor in consumption-based asset pricing models. Chapter 2. I hypothesize that directly observable past returns drive housing investment more so than fundamentals because the difference between price and fundamental value---sentiment---is not directly observable. Housing sentiment only becomes recognizable when it is extreme, so the magnitude of sentiment must be large enough relative to recent returns in order for prices to correct. I construct indices of housing sentiment and use the measures to calibrate a specification of home price growth driven by momentum investing. I find that home price growth is persistent even when prices are moving away from fundamental value, and reversals in home price growth are only likely when the housing sentiment measures are extreme.
Essays On Investor Sentiment And International Finance
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Author : Yanyan Yang
language : en
Publisher:
Release Date : 2018
Essays On Investor Sentiment And International Finance written by Yanyan Yang 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.
Essays On Investor Sentiment And Institutional Trading Momentum
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Author : James Gerard Bulsiewicz
language : en
Publisher:
Release Date : 2016
Essays On Investor Sentiment And Institutional Trading Momentum written by James Gerard Bulsiewicz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with Finance categories.
Two Essays On Stock Liquidity
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Author : Shuming Liu (doctor of finance.)
language : en
Publisher:
Release Date : 2008
Two Essays On Stock Liquidity written by Shuming Liu (doctor of finance.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Institutional investors categories.
This dissertation consists of two empirical essays on investor behavior and liquidity variation. The results demonstrate the important role of investors in affecting liquidity. The first essay examines how the fluctuation in the aggregate stock market liquidity is related to investor sentiment. I find that the stock market is more liquid when investor sentiment is higher. This evidence is consistent with the theoretical prediction that higher investor sentiment increases stock market liquidity. The second essay investigates whether the cross-sectional differences in liquidity are affected by institutional ownership. I document that stocks with larger increases in the number of institutional investors are more liquid than other stocks. This result is consistent with the prediction that information competition among institutional investors increases stock liquidity.
Two Essays On Stock Preference And Performance Of Institutional Investors
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Author : Jin Xu (doctor of finance.)
language : en
Publisher:
Release Date : 2008
Two Essays On Stock Preference And Performance Of Institutional Investors written by Jin Xu (doctor of finance.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Capitalists and financiers categories.
Two essays on the stock preference and performance of institutional investors are included in the dissertation. In the first essay, I document that mutual fund managers and other institutional investors tend to hold stocks with higher betas. This effect holds even after precisely controlling for stocks' risk characteristics such as size, book-to-market equity ratio and momentum. This is contrary to the widely accepted view that betas are no longer associated with expected returns. However, these results support my simple model where a fund manager's payoff function depends on returns in excess of a benchmark. For the manager, on the one hand, he tends to load up with high beta stocks since he wants to co-move with the market and other factors as much as possible. On the other hand, the manager faces a trade-off between expected performance and the volatility of tracking error. My model thus shows that the manager prefers to choose higher beta than his benchmark, and that his beta choice has an optimal level which depends on his perceived factor returns and volatility. My empirical findings further confirm the model results. First, I show that the effect of managers holding higher beta stocks is robust to a number of alternative explanations including the effects of their liquidity selection or trading activities. Second, consistent with the model predictions of managers sticking close to their benchmarks during risky periods, I demonstrate that the average beta choice of mutual fund managers can predict future market volatility, even after controlling for other common volatility predictors, such as lagged volatility and implied volatility. The second essay is the first to explicitly address the performance of actively managed mutual funds conditioned on investor sentiment. Almost all fund size quintiles subsequently outperform the market when sentiment is low while all of them underperform the market when sentiment is high. This also holds true after adjusting the fund returns by various performance benchmarks. I further show that the impact of investor sentiment on fund performance is mostly due to small investor sentiment. These findings can partially validate the existence of actively managed mutual funds which underperform the market overall (Gruber 1996). In addition, when conditioning on investor sentiment, the pattern of decreasing returns to scale in mutual funds, recently documented in Chen, Hong, Huang, and Kubik (2004), is fully reversed when sentiment is high while the pattern persists and is more pronounced when sentiment is low. Further results suggest that smaller funds tend to hold smaller stocks, which is shown to drive the above patterns. I also document that smaller funds have more sentiment timing ability or feasibility than larger funds. These findings have many important implications including persistence of fund performance which may not exist under conventional performance measures.
Essays On Investor Sentiment Mispricing And Cross Section Of Stock Returns
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Author : Xiao Han
language : en
Publisher:
Release Date : 2021
Essays On Investor Sentiment Mispricing And Cross Section Of Stock Returns written by Xiao Han 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 Investors Sentiment And Attention
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Author : Daniele Ballinari
language : en
Publisher:
Release Date : 2021
Essays On Investors Sentiment And Attention written by Daniele Ballinari 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.
The first paper investigates the predictive power of investors' sentiment and attention for the stock returns' volatility. We introduce a novel and extensive dataset that combines information from social media platforms, news articles, search engine data, and information consumption. Applying a state-of-the-art sentiment classification technique, we construct measures of investors' sentiment and attention for 18 U.S. stocks and the financial market in general. We identify investors' attention, as measured by the number of Google searches on financial keywords (e.g. «financial market» and «stock market»), and the daily volume of company-specific short messages posted on the social media platform StockTwits to be the most relevant variables. The second paper investigates a potential driver of the predictive power documented in the first paper. We focus on news releases of 360 U.S. companies from the S&P 500 universe and analyze how investors' attention affects the speed at which new information is incorporated in stock prices. Our results show that higher investors' attention around news releases is related to higher contemporaneous volatility. Further, retail investor attention increases the post-announcement volatility, whereas institutional investor attention has a small but negative impact on volatility on days following news releases. The third paper extends the analysis of the first paper to the multivariate stock return volatility. Building on the theoretical and empirical evidence that links the price comovements with retail investors' behavior, we analyze the predictive power of retail investors' sentiment and attention for the realized correlation matrix of 35 Dow Jones stocks. We propose a new model of realized covariances that allows exogenous predictors to influence the correlation dynamics while ensuring the predicted matrices' positive definiteness. Using this model, we find retail investors' attention to have predictive power for return correlations, especially for longer forecasting horizons and during the COVID-19 pandemic. The last paper analyzes in more detail the time-series properties of the daily online investor sentiment measures used in the first two papers. We detect structural breaks in the sentiment series for most of the 360 U.S. companies considered in this paper. We illustrate the economic significance of this finding with a return prediction exercise.