Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Empirical Essays On The Stock Market Impact Of Limited Investor Attention full books in PDF, epub, and Kindle. Read online Empirical Essays On The Stock Market Impact Of Limited Investor Attention ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Heiko Jacobs
Publisher :
ISBN 13 :
Total Pages : 208 pages
Book Rating : 4.:/5 (781 download)
Download or read book Empirical Essays on the Stock Market Impact of Limited Investor Attention written by Heiko Jacobs and published by . This book was released on 2011 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Daniele Ballinari
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (125 download)
Download or read book Essays on Investors' Sentiment and Attention written by Daniele Ballinari and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Amal El aouadi
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (123 download)
Download or read book When CSR Meets the Stock Market written by Amal El aouadi and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three empirical essays investigating the role of investor attention as a determinant of the relationship between corporate social performance (CSP) and financial performance. Our aim is to rethink the controversial literature on the financial implications of CSR activities by exploring a new premise - investor attention may shape the financial returns on corporate social impact. Since a growing stream of literature has highlighted the role of firm visibility as well as stakeholder attention to connect CSP to financial performance in addition to the complementary literature of investor attention and stock prices, we expect that controlling for firm-specific investor attention would provide novel insights to the literature on the potential financial effects of CSP.A consistent strand of literature has provided interesting evidence of a strong relationship between the firm CSP and its stakeholders such as consumers, employees, suppliers, investors, analysts, activists and communities, and regulators, with the benefits being stronger, the greater the attention to and salience of social activities among stakeholders. We complement and extend this literature by implementing a more granular analysis and particularly we focus on the relevance of investors' attention, a scarce and limited cognitive resource.This research is divided in four chapters. The first chapter is a survey of prior theoretical and empirical literature on the controversial debate of the relation between CSR and financial outcomes. We have particularly reviewed potential mechanisms that allow CSP to translate into CFP. Most importantly, we rely on studies claiming that firm visibility is a crucial factor to connect social impact to financial performance. Another argument of great appeal is the stakeholder attention theory as proposed by Madsen and Rodgers (2015) from which our research question draws its full legitimacy. Then, we have connected the literatures on attention, information, decision making and CSR to remake the CSP-CFP puzzle and highlight potential research hypotheses. A more readable view is provided by Figure 1 (later in this document) which integrates and synthesizes key predictors, outcomes, mediators, and moderators of the CSP-CFP relation by focusing on studies related to CSR and firm visibility thereby introducing the role of investor attention. Figure 1 is not an exhaustive conceptualization of all the intervening variables in this relationship but rather meant as a multilevel lens and guiding framework to which other variables can be added in the future. However, despite all the advancements in assessing the returns on CSR investments, this debate remains unsettled and has yielded conflicting results. Thus, we conducted three empirical essays on the relation between CSP and financial performance and particularly provide new and unique evidence on the role of investor attention to shape this controversial empirical issue. Therefore, in the first essay, we conduct a multi-country event study and investigate the impact of environmental, social and governance (ESG) news headlines on the shareholder wealth. We find that investors do not value positive ESG news headlines but negatively react to negative ESG news headlines. This result is consistent with the idea that social responsibility and irresponsibility are not the two sides of the same coin. Furthermore, evidence reveals that shareholders only react to negative corporate governance related headlines. This suggests that investors may be especially prone to attend to corporate social responsibility (CSR) initiatives that directly impact their own interests as previously suggested by T. M. Jones et al. (2007). Most importantly, investor attention was found to shape the punishment and reward of CSP, after controlling for the additional role of firm's internal moderators such as firm size and advertising expenditure. [...].
Author : Christian Funke
Publisher : Springer Science & Business Media
ISBN 13 : 3834998141
Total Pages : 123 pages
Book Rating : 4.8/5 (349 download)
Download or read book Selected Essays in Empirical Asset Pricing written by Christian Funke and published by Springer Science & Business Media. This book was released on 2008-09-15 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: Christian Funke aims at developing a better understanding of a central asset pricing issue: the stock price discovery process in capital markets. Using U.S. capital market data, he investigates the importance of mergers and acquisitions (M&A) for stock prices and examines economic links between customer and supplier firms. The empirical investigations document return predictability and show that capital markets are not perfectly efficient.
Author : Tomas Hernan Reyes Torres
Publisher :
ISBN 13 :
Total Pages : 85 pages
Book Rating : 4.:/5 (957 download)
Download or read book Essays in Behavioral and Corporate Finance written by Tomas Hernan Reyes Torres and published by . This book was released on 2012 with total page 85 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation examines the factors that influence investors' attention to the stock market and the relationship that exists among attention and real output variables including stock returns, trading volume, and volatility. Traditional asset pricing models assume that information is effortlessly obtained and instantaneously incorporated into pricing. This assumption requires that investors devote sufficient attention to the asset, and ignores the existence of various channels through which public information is disseminated. In reality, attention is a scarce cognitive resource which is related to the effort that investors must expend to obtain information; the implications of this contingency of attention on these limitations have been remarkably under-researched in the past. In the first chapter of this study, I familiarize readers with Google Trends data and explain why such data is a better source to proxy for attention than the measures previously used in the literature. Next, utilizing this data, I describe how to measure investors' attention with regard to M\&A announcements, and show that attention is not instantaneous with the release of information, but is, instead, spread over a period surrounding the announcement. Retail investors pay attention and demand information about a firm as the announcement date approaches, during the announcement, and for days afterward. Finally, I present three aggregate measures of attention in the stock market, which are also based on search volume from Google. After constructing these measures, I study how they correlate with, but differ from, existing proxies of attention. In the second chapter, I consider whether limited attention explains the announcement effect bias found in the M\&A literature concerning merger and acquisition announcements. More specifically, I ask: How does variation in investors' attention affect the capital market response to M\&A announcements? To answer this question I rely on the measure for attention to M\&A announcements described in the previous chapter and find that high abnormal attention on the day of announcement predicts high adjusted abnormal returns the day after. This effect is strongest among firms with high standard deviations and betas, and it partially reverses over the following months. The third chapter argues that negative stock market performance attracts more attention from retail investors than comparable positive performance. Specifically, I rely on the three aggregate measures of attention in the stock market to test and confirm the hypothesis that retail investors pay more attention to negative rather than positive extreme returns. Empirical results strongly support that with respect to stock returns investors display this negativity bias in attention allocation. Across all specifications, lagged negative extreme returns are stronger predictors than positive extreme returns of high attention at the stock and market level. I rule out that negative returns are stronger simply because they are more unusual or because negative and positive returns are not symmetrical events to stockholders.
Author : Qiongbing Wu
Publisher :
ISBN 13 :
Total Pages : 14 pages
Book Rating : 4.:/5 (13 download)
Download or read book Investor Attention, Information Diffusion and Industry Returns written by Qiongbing Wu and published by . This book was released on 2015 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using the monthly data for more than 1700 Australian stocks over the period from 1990 to 2009, we investigate whether industry portfolio returns predict the aggregate market. We find that a few industries significantly lead the market even controlling for well-recognized market predictors. However, unlike U.S. studies, we do not find that the ability of an industry to predict the market is closely related to its propensity to forecast economic growth. Instead, we find that the capacity of an industry to lead the market is significantly moderated by proxies for investor attention. In general, more neglected industries are more informative in leading the markets due to delayed investor attention to the information content of these industries; and the information contained in industry portfolio returns is incorporated into the market return more slowly during economic recession when investors pay less attention to the stock markets. Our research provides new empirical evidence in support of the gradual information diffusion hypothesis from a market that differs from the U.S. stock market.
Author : David Hirshleifer
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (669 download)
Download or read book Limited Investor Attention and Stock Market Misreactions to Accounting Information written by David Hirshleifer and published by . This book was released on 2005 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Joshua Matthew Pollet
Publisher :
ISBN 13 :
Total Pages : 167 pages
Book Rating : 4.:/5 (255 download)
Download or read book The Impact of Investor Attention on the Behavior of the Stock Market written by Joshua Matthew Pollet and published by . This book was released on 2004 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Milica Matovic
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (114 download)
Download or read book Essays on Investor Attention written by Milica Matovic and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Xing Huang
Publisher :
ISBN 13 :
Total Pages : 236 pages
Book Rating : 4.:/5 (858 download)
Download or read book Essays in Behavioral Finance written by Xing Huang and published by . This book was released on 2013 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains three essays in behavioral finance. It explores investors' (non-standard) behaviors and their impacts on market efficiency and market valuations. I strive to empirically characterize how market participants behave, and to identify how these behaviors can improve our understanding of the financial market. The first chapter studies the impact of prior investment experience in an industry on the subsequent purchase of new stocks in the same industry. Using trading records data for households at a large discount broker from 1991 to 1996, I establish that the experience of positive excess returns in a given industry increases the probability of purchasing similar stocks in that industry relative to other industries. This result is robust to industry momentum, wealth effects, and investor heterogeneity. The effect decays when the experience is further in the past. Furthermore, I find that investor sophistication mitigates this experience effect. These results are consistent with mechanisms where investors put more weight on their own experience than on other available historical information when updating the beliefs about an industry's future return. The results are also consistent with investors learning about their stock-picking ability in an industry from their experienced outcomes. In the second chapter, I ask the question: do investors slow to incorporate return-relevant information if it reflects firms' operations abroad? Using the corresponding industry return in the foreign countries, I show that foreign operations information is slowly incorporated into stock prices. A trading strategy exploiting the foreign operations information of multinational firms generates a monthly abnormal return of approximately $0.80$ percentage points, controlling for risk-based factors. The return predictability is not driven by U.S. industry momentum, global industry momentum or foreign country-specific industry momentum. The third chapter further explores the underlying mechanism to explain the market under-reaction to foreign information identified in the second chapter. The return predictability becomes more pronounced for smaller firms and firms with less analyst coverage, lower institutional holdings, lower fraction of foreign operations and more complicated international operations structure. I also find that stock prices respond more to foreign operations information during the month of a quarterly earnings announcement or when there is more foreign news relative to domestic news appearing in the media. In addition, information about firms' operations in Asia is delayed more than information about operations in Europe and English-speaking countries. These results are consistent with the hypothesis that news about multinational firms' foreign operations diffuses gradually, indicating investors' limited attention and processing capacity for foreign information.
Author : Yibin Liu
Publisher :
ISBN 13 :
Total Pages : 204 pages
Book Rating : 4.:/5 (126 download)
Download or read book Essays in Corporate Finance written by Yibin Liu and published by . This book was released on 2021 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation addresses several questions in corporate finance. A common thread is the study of stock market investors' processing of disclosure by public firms. The first chapter studies the effect of public scrutiny on financial misreporting. I exploit the staggered implementation of the EDGAR system, which provides all investors with free and instant access to financial reports. Firms phased into EDGAR received higher public scrutiny and stronger stock market reaction to earnings announcements. A plausibly exogenous increase in public scrutiny incentivizes firms to substitute between different methods of earnings management. Moreover, the increase in public scrutiny impacts firms differently depending on the ex-ante level of scrutiny that firms already have, consistent with theoretical predictions. The second chapter models investors' allocation of attention to financial disclosures and its impact on firms' voluntary disclosure. We jointly solve investors' optimal allocation of limited attention and managers' choice to disclose their privately observed signals (e.g., forecasts of future earnings). We predict an inverse-U-shaped relation between firms' likelihood of disclosure and investor attention, supported by our empirical tests. The third chapter also studies investors' reactions to financial reports. In particular, we examine whether earnings management by manipulating firms distorts investors' response to financial reports by (similar) non-manipulating firms. We exploit a unique setting in China's stock market that de-lists firms if they report consecutive negative annual earnings. We find that non-manipulating firms suffer from significant adverse capital market effects, resulting from investors' distrust.
Author : Jiuping Xu
Publisher : Springer
ISBN 13 : 3030212556
Total Pages : 790 pages
Book Rating : 4.0/5 (32 download)
Download or read book Proceedings of the Thirteenth International Conference on Management Science and Engineering Management written by Jiuping Xu and published by Springer. This book was released on 2019-06-19 with total page 790 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gathers the proceedings of the 13th International Conference on Management Science and Engineering Management (ICMSEM 2019), which was held at Brock University, Ontario, Canada on August 5–8, 2019. Exploring the latest ideas and pioneering research achievements in management science and engineering management, the respective contributions highlight both theoretical and practical studies on management science and computing methodologies, and present advanced management concepts and computing technologies for decision-making problems involving large, uncertain and unstructured data. Accordingly, the proceedings offer researchers and practitioners in related fields an essential update, as well as a source of new research directions.
Author : Seungho Jung
Publisher : International Monetary Fund
ISBN 13 : 1557759677
Total Pages : 36 pages
Book Rating : 4.5/5 (577 download)
Download or read book Geopolitical Risk on Stock Returns: Evidence from Inter-Korea Geopolitics written by Seungho Jung and published by International Monetary Fund. This book was released on 2021-10-22 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the occurrence of nuclear tests, missile launches, or military confrontations, and decreases significantly around the times of summit meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and that the reductions in stock returns are greater especially for large firms, firms with a higher share of domestic investors, and for firms with a higher ratio of fixed assets to total assets. These results suggest that international portfolio diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns.
Author : Wing-Keung Wong
Publisher : Mdpi AG
ISBN 13 : 9783036530802
Total Pages : 232 pages
Book Rating : 4.5/5 (38 download)
Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Author : Joel Hasbrouck
Publisher : Oxford University Press
ISBN 13 : 0198041306
Total Pages : 209 pages
Book Rating : 4.1/5 (98 download)
Download or read book Empirical Market Microstructure written by Joel Hasbrouck and published by Oxford University Press. This book was released on 2007-01-04 with total page 209 pages. Available in PDF, EPUB and Kindle. Book excerpt: The interactions that occur in securities markets are among the fastest, most information intensive, and most highly strategic of all economic phenomena. This book is about the institutions that have evolved to handle our trading needs, the economic forces that guide our strategies, and statistical methods of using and interpreting the vast amount of information that these markets produce. The book includes numerous exercises.
Author : Bijay Kumar Kandel
Publisher : Springer Nature
ISBN 13 : 9464633263
Total Pages : 548 pages
Book Rating : 4.4/5 (646 download)
Download or read book Proceedings of the 2023 3rd International Conference on Business Administration and Data Science (BADS 2023) written by Bijay Kumar Kandel and published by Springer Nature. This book was released on 2024-01-27 with total page 548 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an open access book. In the current situation of rapid economic development, the competition in the market is increasingly fierce. The drawbacks of traditional enterprise management and the backward management concept have seriously hindered the normal development of enterprises. In order to improve their competitive advantages and market share, enterprises must optimize their management methods and build a modern business administration system. In this situation, enterprises can only promote their development process by improving their business management mode and formulating scientific business management policies. Data science is one of the most important tools for optimizing business administration. Data science is an interdisciplinary field that uses scientific methods, processes, algorithms and systems to extract value from data. Data scientists use a combination of skills (including statistics, computer science and business knowledge) to analyze data collected from the Web, smartphones, customers, sensors and other sources. Data is the cornerstone of innovation, and data scientists gather information from data, discovering hidden trends from raw data and generating insights that companies can use to transform business problems into research projects that can then be translated back into practical solutions. Based on this, BADS 2023 discusses the state of modern business administration and the corresponding improvement measures in the context of the current reality, and It also provides a platform for scholars in related fields to exchange and share information, discuss how the two affect each other, and promote the modernization of business administration by studying certain business administration issues. To open new perspectives, broaden horizons, and examine the issues being discussed by the participants. Create an international-level forum for sharing, research and exchange that will expose participants to the latest research directions, results and content in different fields, thus inspiring them to come up with new research ideas.
Author : Joseph P. H. Fan
Publisher : University of Chicago Press
ISBN 13 : 0226237249
Total Pages : 401 pages
Book Rating : 4.2/5 (262 download)
Download or read book Capitalizing China written by Joseph P. H. Fan and published by University of Chicago Press. This book was released on 2013 with total page 401 pages. Available in PDF, EPUB and Kindle. Book excerpt: La 4e de couverture indique : "Despite a vast accumulation of private capital, China is not embracing capitalism. Deceptively familiar capitalist features disguise the profoundly unfamiliar foundations of "market socialism with Chinese characteristics." The Chinese Communist Party (CCP), by controlling the career advancement of all senior personnel in all regulatory agencies, all state-owned enterprises (SOEs), and virtually all major financial institutions state-owned enterprises (SOEs), and senior Party positions in all but the smallest non-SOE enterprises, retains sole possession of Lenin's Commanding Heights. The chapters in this volume examine China's high savings rate, banking system, financial markets, financial regulations, corporate governance, and public finances; and consider policy alternatives the CCP might consider if its goal is China's elevation into the ranks of high income countries."
