Investor sentiment and the cross-section of stock returns

Jul 01, 2013

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Introduction . Classical finance theory Investor sentiment" doesn't affect prices, because the demands of any sentimental investors are neutralized by arbs Challenges to classical theoryClear violations of market efficiency (momentum, post-earnings announcement drift, index inclusion effects, n

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Investor sentiment and the cross-section of stock returns

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Investor sentiment and the Closed-end fund puzzle

Investor sentiment and the Closed-end fund puzzle Closed-end fund- issues a fixed number of shares that are traded on the stock market;shares are liquidated by selling the shares to other investors.

851 views • 7 slides

On the determinants of stock returns

On the determinants of stock returns. Objective. Present recent empirical evidence on the determinants of stock returns. Outline. A review of determinants of stock returns Empirical evidence. Common sense determinants of stock returns. Risk factors Liquidity factors Measures of cheapness

286 views • 14 slides

Sports Sentiment and stock returns

Sports Sentiment and stock returns. Gregory Gay. Overview. Written by Alex Edmans , Diego Garcia, and Øyvind Norli. Discussion Mood Variable How sport outcomes affect investors decisions in the stock market International s occer is the primary focus. Mood Variable.

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INVESTOR SENTIMENT,EXECUTIVE COMPENSATION, AND CORPORATE INVESTMENT

INVESTOR SENTIMENT,EXECUTIVE COMPENSATION, AND CORPORATE INVESTMENT. Dr Hui (Michael) Li Department of Economics and Finance La Trobe University. Agenda. Contribution of the paper Literature review The model The empirical test Conclusion. Contribution of the paper.

381 views • 23 slides

2013 Global Investor Sentiment

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279 views • 19 slides

Investor Sentiment Aligned: A Powerful Predictor of Stock Returns

Investor Sentiment Aligned: A Powerful Predictor of Stock Returns. Dashan Huang Fuwei Jiang Jun Tu Guofu Zhou Singapore Management University (Huang, Jiang, Tu) Washington University in St. Louis (Zhou). For the Q-Group Presentation on April 7th, 2017 at Charleston, SC.

424 views • 17 slides

Relationship between ‘risk’ and stock returns

Relationship between ‘risk’ and stock returns. Mayur Agrawal Varun Agrawal Debabrata Mohapatra Sung Kyun Park Vikas Yadav. Risk 4: Price to Book Ratio. P/B = Market Cap / Book Value of Equity Market Cap = S hares Outstanding * Market price per Share

270 views • 11 slides

Forecasted Earnings per Share and the Cross Section of Expected Returns

Forecasted Earnings per Share and the Cross Section of Expected Returns. Ling Cen K.C. John Wei Hong Kong University of Science and Technology Jie Zhang The Hong Kong Polytechnic University. Outline. Major Findings Motivations Data and Sample Empirical Results Potential Explanations

539 views • 32 slides

Cross Sectional Variation of Stock Returns: Idiosyncratic Risk and Liquidity

Cross Sectional Variation of Stock Returns: Idiosyncratic Risk and Liquidity. by Matthew Spiegel Xiaotong (Vivian) Wang. Cross Sectional Returns via Market Microstructure. Liquidity varies across stocks. More liquidity is better. Duh!

734 views • 52 slides

Stock Offerings and Investor Monitoring

10. Stock Offerings and Investor Monitoring. Other People’s Money. OPM As a new business grows, it will at some point likely need Other People’s Money (OPM), which could come in two forms: 1) Debt : - loan from the bank (doubtful unless collateral is available)

826 views • 44 slides

Relationship between beta and stock returns

Relationship between beta and stock returns. Mayur Agrawal Varun Agrawal Debabrata Mohapatra Sung Kyun Park Vikas Yadav. Factor affecting stock returns. Beta alone cannot explain differences in stock-returns.

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Capital Investments and Stock Returns

Capital Investments and Stock Returns. Sheridan Titman K. C. John Wei Feixue Xie (Journal of Financial and Quantitative Analysis 39, 2004, pp. 677-700). This article. Examines the relation between increases in capital investments and subsequent stock returns, and provides some explanations.

437 views • 26 slides

Leverage, Financial Distress and the Cross-Section of Stock Returns

Leverage, Financial Distress and the Cross-Section of Stock Returns. Thomas J. George University of Houston and Chuan-Yang Hwang Nanyang Business School Nanyang Technological University December, 2006. Motivation.

389 views • 23 slides

Returns of Stock

Returns of Stock. Chapter 13. Two Types. There are basically two types of returns: purchase returns and sales returns. A purchase return occurs when stock is returned to a supplier (by our firm). A sales return occurs when stock is returned by a customer (to our firm).

456 views • 25 slides

The Five Key Sources of Stock Returns

The Five Key Sources of Stock Returns Bob Duwa DeMarche Associates, Inc. CFA Nebraska February 18, 2009. The Five Key Sources of Stock Returns. Key Factor Groups DeMarche Phase Analysis Market Outlook. Key Factor Groups. Forces Affecting Stock Return. The Economy. Market Behavior.

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GLOBAL STOCK MARKET RETURNS

GLOBAL STOCK MARKET RETURNS. AM: 0121 Yusuf Kazi 12/10/06. PROBLEM. Basic Markowitz Portfolio Problem. Find optimum portfolio of risky securities by minimizing risk as measured by variance. The variables are the weights of the securities in the portfolio.

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Cross Section of the Eye

Cross Section of the Eye. Review of Important Terms. The outer surface of your eye where light enters is made of a transparent layer of tissue called the cornea.

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Relationship between ‘beta’ and stock returns

Relationship between ‘beta’ and stock returns. Mayur Agrawal Varun Agrawal Debabrata Mohapatra Vikas Yadav. Experimental Setup. N months. K months. Current Time. 1 st Jan 1962. 31 st Dec 2008. Obtain daily fluctuations on beta portfolios.

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Investor Sentiment and Stock Return: Evidence from Chinese Stock Market

This paper selects the trading volume data from January 2010 to December 2014 to study investor sentiment and regard the market daily earnings ratio of Shanghai Stock Exchange A-shares index as stock return. Using ARMA model to research its own characteristics of investor sentiment, then use VAR model and Granger causality test, impulse response function and variance decomposition to research the relationship between investor sentiment and the market returns, thereafter empirical results show that two series have Granger causal relationship exist between each other. Then the heteroscedastic EGARCH model tests the impact of the returns on investor sentiment, and the u201cbad newsu201d in the market can cause greater volatility than u201cgood newsu201d; Finally, the EGARCH-M heteroscedastic model shows that the impact of investor sentiment to returns exist u201crisk premiumu201d phenomenon.

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Effect of Investor Sentiment on Future Returns in the Nigerian Stock Market

Study investigated the effect of investor sentiment on future returns in the Nigerian stock market for a period covering first quarter of 2008 to fourth quarter of 2015.The OLS regression and granger causality techniques were employed for data analyses. The results showed that 1 investor sentiment has a significant positive effect on stock market returns even after control for fundamentals such as Industrial production index, consumer price index and Treasury bill rate 2 there is a uni directional causality that runs from change in investor sentiment CCI to stock market returns Rm . Derived finding showed that the inclusion of fundamentals increased the explanatory power of investor sentiment from 3.96 to 33.05 , though at both level, investor sentiment CCI has low explanatory power on stock market returns. The study posits existence of a dynamic relationship between investor sentiment and the behaviour of stock future returns in Nigeria such that higher sentiment concurrently leads to higher stock prices. Udoka Bernard Alajekwu* | Cyprian Okey Okoro | Dr. Michael Chukwumee Obialor | Prof. N. S. Ibenta "Effect of Investor Sentiment on Future Returns in the Nigerian Stock Market" Published in International Journal of Trend in Scientific Research and Development (ijtsrd), ISSN: 2456-6470, Volume-1 | Issue-5 , August 2017, URL: https://www.ijtsrd.com/papers/ijtsrd2256.pdf Paper URL: http://www.ijtsrd.com/management/marketing-management/2256/effect-of-investor-sentiment-on-future-returns--in-the-nigerian-stock-market/udoka-bernard-alajekwu

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The Five Key Sources of Stock Returns

342 views • 33 slides

A model of investor sentiment

A model of investor sentiment. Barberis, Shleifer & Vishny Journal of Financial Economics,1998. Cedric Foucart Dries Heyman. Anomalies. Underreaction to news: E(r t+1 |z t =G)> E(r t+1 |z t =B) Empirical evidence:

249 views • 10 slides

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