Two Essays On Investor Sentiment And The Profitability Of Contrarian And Momentum Strategies
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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.
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.
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.
Investor Sentiment Attention And Profitability Of Currency Momentum Strategies
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Author : Paweł Maryniak
language : en
Publisher:
Release Date : 2016
Investor Sentiment Attention And Profitability Of Currency Momentum Strategies written by Paweł Maryniak 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.
Paper analyzes the relationship between the profitability of currency momentum strategy and its potential sources - investor sentiment and investor attention. Evidence supporting the existence of relationship between investor sentiment and currency momentum is presented. It seems that this relationship is different than for equity momentum. Investor sentiment seems to affect in the opposite way long and short leg of currency momentum strategy. It seems that adjusting currency momentum for this relationship can magnify its profitability. Investor attention also seems to have an impact on the profitability of currency momentum which seems to be the most profitable for low attention currencies.
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.
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.
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.
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.
A Practical Perspective On Contrarian And Momentum Investment Strategies Profitability
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Author : Artur Naporowski
language : en
Publisher:
Release Date : 2014
A Practical Perspective On Contrarian And Momentum Investment Strategies Profitability written by Artur Naporowski 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.
The Handbook Of Equity Market Anomalies
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Author : Leonard Zacks
language : en
Publisher: John Wiley & Sons
Release Date : 2011-08-24
The Handbook Of Equity Market Anomalies written by Leonard Zacks 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 2011-08-24 with Business & Economics categories.
Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.