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Author : David William Johnk
Publisher :
ISBN 13 :
Total Pages : 262 pages
Book Rating : 4.:/5 (837 download)
Download or read book Essays on Time-varying Risk and Investor Sentiment written by David William Johnk and published by . This book was released on 2012 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shane K. Clark
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (141 download)
Download or read book Three Essays on Information, Volatility, and Crises in Equity Markets written by Shane K. Clark and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essay 3 investigates the relation between proxies for investor sentiment and stock market crises and recoveries on international indices. Using an Early-Warning-System (EWS) model, the essay examines whether investor sentiment is a useful predictor for the occurrence of stock market crises and early signs of recovery. Three alternative proxies are used to measure investor sentiment, including previously cited measures of stock market riskiness, investors' risk aversion and investors' optimism about stock markets. The results show that investor sentiment is overall a significant predictor of the occurrence of crises within a one year period, and that the addition of sentiment into early warning signal models of stock market crises can improve the predictive performance of the model (increases in investor sentiment increase the probability of occurrence of a crisis, which is in line with previous contributions finding a negative lead-lag relation between sentiment and stock returns). The extension of the model to early signs of recoveries also shows that sentiment is a reliable predictor. The measure of stock market riskiness (Baker and Wurgler, 2006) is found to be a better predictor than the Volatility Index (VIX) and the Put-to-Call Ratio (PCR). The cross-country comparison results confirms the literature findings that the link between sentiment and stock market returns varies across indices and cultures, as the predictive power of the variable appears strongest in the French and U.S. indices.
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 : Major Coleman
Publisher :
ISBN 13 : 9781267971432
Total Pages : 102 pages
Book Rating : 4.9/5 (714 download)
Download or read book Essays in Investor Sentiment written by Major Coleman and published by . This book was released on 2013 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Sung Bin Sohn
Publisher :
ISBN 13 :
Total Pages : 228 pages
Book Rating : 4.:/5 (81 download)
Download or read book Essays in Financial Economics written by Sung Bin Sohn and published by . This book was released on 2012 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays in financial economics. The first two essays explore how initial public offerings are affected by various stock market conditions. In the third essay, I study the meaning of innovations in investor sentiment. In the first essay, I use cointegration techniques to decompose stock market shocks into permanent and transitory shocks, building on the idea that transitory shocks should not have long-run effects on dividends and stock prices. The decomposed shocks improve on existing valuation measures by indicating the extent to which market value is driven by permanent or transitory fluctuations. I then examine the effects of these shocks on several aspects of IPOs, and find that (1) despite the lack of long-run effects on firms' value, more firms go public in response to stronger transitory shocks; (2) firms that go public after stronger transitory shocks underperform their benchmark more severely in the long run; (3) during the book-building period, managers are more likely to limit secondary share sales after stronger transitory shocks; and (4) managers who limit secondary share sales further during the book-building period exhibit more severe long-run underperformance. These findings are consistent with the hypothesis that transitory shocks induce more IPOs that opportunistically exploit temporarily higher market valuation than IPOs that finance profitable projects in better market conditions. The findings are also consistent with the hypothesis that managers are more prone to become overconfident after stronger transitory shocks and that the resulting overconfidence leads to long-run underperformance. The decomposition methodology can also be applied to other corporate finance decisions such as SEOs, mergers and investments. The second essay establishes a model that incorporates both uncertainty and dispersion of opinion to examine how these two factors affect IPO stock performance. The model predicts that, unlike uncertainty, dispersion of opinion has nonlinear effects. There is a threshold of dispersion of opinion below which the dispersion does not affect IPO stock performance. Above the threshold, on the other hand, larger dispersion of opinion bids up the stock price higher and consequently yields the lower long-run return. The level of the threshold is increasing in the amount of free-floating shares in the market. Since IPO firms tend to have relatively small free-floating shares than other listed firms, IPO stocks are more subject to the dispersion of opinion. Thus, empirical researches that do not control the dispersion of opinion can produce misleading results on IPO performance. The model also predicts IPOs observations are subject to self-selection bias. Private firms would decide not to go public under the combination of high uncertainty and small dispersion of opinion, which could actually yield high long-run returns. This prediction helps explain the time variation of IPO volume and the general pattern of IPO long-run underperformance. The third essay tries to understand the meaning of innovations in investor sentiment. The role of investor sentiment in the stock market has attracted attentions of economists. Previous papers show that investor sentiment has return predictability and it is more pronounced among stocks that are more difficult to value and to arbitrage, and emphasize the behavioral role of investor sentiment. However, it still remains unclear whether this predictability is due to a causal effect of autonomous animal spirits or not. Alternatively, investor sentiment may reflect systematic risks and the predictability could be mere coincidence, not causation. For a structural interpretation, I introduce a modified version of the long-run risks model in which sentiment innovations arise from both animal spirit shocks and several risk shocks, and animal spirit shocks could affect stock returns. By matching impulse responses from data simulated according to the theoretical model to those from actual data, I estimate parameters in the model. The estimated model moderately replicates the historical data in the actual stock market. The estimation results show that a substantial amount of variation in investor sentiment is explained by systematic risk shocks as well as by animal spirit shocks, and that animal spirit shocks can have significant effects on stock returns. The findings suggest that investor sentiment is a noisy proxy of animal spirits and that autonomous animal spirits are at least in part responsible for the apparent return predictability of investor sentiment.
Download or read book 言成 written by and published by . This book was released on 1976 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Investor Sentiment, Time - Varying Risk Premiums and Stock Returns : an Application of Panel Smooth Transition Regression Model written by and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zhenmei Zhu
Publisher :
ISBN 13 :
Total Pages : 145 pages
Book Rating : 4.:/5 (89 download)
Download or read book Temporal Influences on Cross-sectional Stock Return Predictabilities written by Zhenmei Zhu and published by . This book was released on 2012 with total page 145 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis, I examine the following three temporal influences on the cross-section of stock returns: disclosure and analyst regulations, the subprime credit crisis, and time-varying investor sentiment. The thesis consists of three essays. The first essay deals with the influence of regulation. Between 2000 and 2003 a series of disclosure and analyst regulations curbing abusive financial reporting and analyst behavior were enacted to strengthen the information environment of U.S. capital markets. I investigate whether these regulations benefited investors by increasing stock market efficiency. After the regulations, I find a significant reduction in short-term stock price continuation following analyst forecast revisions and past stock returns. The effect was more pronounced among higher information uncertainty firms, where I expect security valuation to be most sensitive to the regulations. Further analysis shows that analyst forecast accuracy improved in these firms, consistent with reduced mispricing being due to an improved corporate information environment following the regulations. My findings are robust to controlling for time trends, trading activity, the recent financial crisis, and changes in firms' analyst coverage status and delistings. In the second essay, I examine whether the value premium survived the recent subprime credit crisis. I find that value stocks underperformed growth stocks during the crisis, resulting in a value discount, while the value premium was significantly positive before the crisis. This is consistent with value stocks being riskier than growth stocks because they are more vulnerable during bad times. The value premium reversal during the crisis worked primarily through financially constrained firms, suggesting that the effect was due to the adverse influence of the crisis rather than confounding effects. The results are robust to controlling for common risk factors and alternative financial constraint proxies. The third essay is related to time-varying investor sentiment. Recent literature in financial economics has examined whether investor sentiment affects asset pricing. An open question is whether an investor sentiment effect reflects mispricing or risk compensation. Currently, the literature supports the former view by documenting that investor sentiment predicts realized stock returns beyond the explanatory power of state-of-the-art factor models. But, despite its popularity, estimating expected returns from realized returns has limitations. I re-examine the evidence on investor sentiment using accounting-based implied costs of capital (ICCs). I find that ICCs cannot explain the sentiment effect on stock returns. If ICCs are reliable expected return proxies, this suggests that the investor sentiment effect does not exist ex ante and confirms previous evidence that mispricing is the driving force behind the investor sentiment effect on stock returns.
Author : Emily B. Johnston
Publisher :
ISBN 13 : 9781303738654
Total Pages : 258 pages
Book Rating : 4.7/5 (386 download)
Download or read book Essays on Financial Market Volatility written by Emily B. Johnston and published by . This book was released on 2014 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation examines time-variation in asset volatility surrounding periods of financial market distress. In the first chapter we give a brief introduction of the overall theme of the project, and we outline the models used. The next chapters individually focus on the application of time-varying volatility to important themes in the literature. These include: the behavior of investor risk preferences across periods of stability and distress; inconsistencies in options pricing with regard to the behavior of the underlying asset; and the characterization of time-varying volatility dynamics in equity returns. The second chapter of this dissertation examines the impact of changing asset volatility on the estimation of investor risk preferences. We ask whether prior findings of time-varying behavior for risk preferences may be due in part to a failure to account for changes in volatility. This is an important issue, because there is evidence in the existing literature that suggests a contributing role of risk preferences during periods of crisis and contagion. We use a regime-switching GARCH model for pricing kernel estimation to show that much of the variation in estimated investor risk preferences can be explained by changing volatility instead. In the third chapter we examine stochastic volatility as an additional uncertainty factor regarding the future state of the market. We explore whether this inclusion affects prior findings of options pricing inconsistencies in the literature. Options mispricing is an important topic in debates concerning the role of investor sentiment in market behavior and asset pricing. Results from our investigation indicate that including this additional uncertainty factor does not fully explain away the inconsistencies. Our findings thus appear to support the existing evidence of options mispricing with respect to the behavior of the underlying asset. In the fourth and final chapter of this dissertation, we examine asset volatility dynamics over a long historical time frame from 1871-2013. We demonstrate best fit for the number of distinct volatility regimes and characterize these separate dynamics. There is growing evidence that some economic relationships themselves may change between periods of high and low volatility - understanding changing volatility dynamics is crucial for understanding these economic relationships as well. We also show in this chapter how the estimated high-volatility state matches up with well-documented historical financial market events.
Author : Francisco Jose Guedes dos Santos
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (743 download)
Download or read book Essays in Financial Economics written by Francisco Jose Guedes dos Santos and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays that examine various problems in financial economics. Chapter 1 fills in a gap in the IPO literature by documenting a close connection between IPO underpricing and the long-term underperformance of IPOs. Firms going public in periods of low underpricing do not underperform in the long run, while firms going public in high underpricing periods do. Furthermore, IPOs in later stages of high underpricing periods underperform even relative to their offer prices, which suggests that many of the most "underpriced" IPOs are in fact priced above fundamental value. This result is unlikely to be explained by differences in risk, or to be driven by a peso problem. I also find that firms going public in later stages of high underpricing periods display worse operating performance and profitability, lower asset growth, lower investment rates and higher cash holdings. Finally, I provide evidence that investor sentiment is stronger in high-underpricing periods. These results are consistent with a setting in which low quality firms, in periods in which the average underpricing in the market is high, try to exploit investors' sentiment by going public. Chapter 2 looks at the return predictability information in Single Country Closed-End Fund (SCCEF) discounts. It is long argued that discounts in closed-end funds are caused by differences in sentiment between investors that trade the fund and investors that trade the underlying assets. SCCEFs provide an interesting setting given the clear market segmentation. American SCCEFs are priced by American investors, while underlying assets are mainly traded by investors in the respective country. I argue that if cross-sectional and time-series variation in SCCEFs are linked to differences in sentiment, then the SCCEF discount can be used to predict future performance of SCCEFs, international stock markets, or both. The evidence on international stock markets' return predictability using SCCEF discounts is mixed. A trading strategy designed to exploit potential differences in sentiment by buying and selling international stock indices delivers alphas of around 90bps per month in an International CAPM. Adding three extra factors: value, size and momentum in U.S. equity does not change the result. However, once we control for international value and momentum in stock markets, we no longer observe positive alphas for short-horizon investments. The evidence on SCCEF return predictability from SCCEF discounts is very strong. For all three asset pricing models considered, a strategy that exploits differences in sentiment yields positive alphas, with magnitudes ranging from 2% to 4% per month. In Chapter 3, I investigate how the stock market reacts to earnings surprises announced during major sport events in the U.S. In a rational and frictionless market, investors should not react differently to announcements released during sport events. However, major sport events combine two known psychological biases. First, sports can be distracting, impairing investors' judgment. Second, sports can change people's mood. Hence, through these biases, market prices could be affected. Considering the Super Bowl, World Series of Baseball and NBA finals I find that investors, immediately after sport events, underreact to positive surprises, and overreact to negative surprises in earnings. After this initial reaction, I find that, investors undo their 'mistakes' in the following weeks to the announcement. However, for the most negative and positive surprises, they over-compensate. In this study, I show that non relevant financial events have an impact on market prices. Moreover, I show that the observed impact cannot be explained only by limited attention, as investor mood seems to be crucial to explain investors' reactions.
Author : Anna Mathieu
Publisher : Springer
ISBN 13 : 3658116374
Total Pages : 133 pages
Book Rating : 4.6/5 (581 download)
Download or read book Essays on the Impact of Sentiment on Real Estate Investments written by Anna Mathieu and published by Springer. This book was released on 2015-11-05 with total page 133 pages. Available in PDF, EPUB and Kindle. Book excerpt: Anna Mathieu clarifies if real estate decisions are affected by investor and consumer sentiment and how severely the sentiment should be considered. With regard to international capital markets Mathieu conducts an analysis of the impact of investor sentiment on the return of the real estate-specific investment vehicle “Real Estate Investment Trust (REIT)” by applying a GARCH-Model. She investigates the effects of investor sentiment on the return and the underlying volatilities of REITs and Non-REITs during the financial crisis. The hypotheses are tested for validity in a GARCH-Model. Parallel to capital markets and thereby in changing from an indirect Real Estate investment perspective to a direct perspective the author conducts an analysis if consumer sentiment impacts the household decision to buy a new home in the US. Therefore a dataset with 385 monthly observations from 1978 to 2010 is tested by a component model.
Author : Ying L. Becker
Publisher : CFA Institute Research Foundation
ISBN 13 : 1944960457
Total Pages : 75 pages
Book Rating : 4.9/5 (449 download)
Download or read book The Current State of Quantitative Equity Investing written by Ying L. Becker and published by CFA Institute Research Foundation. This book was released on 2018-05-10 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative equity management techniques are helping investors achieve more risk efficient and appropriate investment outcomes. Factor investing, vetted by decades of prior and current research, is growing quickly, particularly in in the form of smart-beta and ETF strategies. Dynamic factor-timing approaches, incorporating macroeconomic and investment conditions, are in the early stages but will likely thrive. A new generation of big data approaches are rendering quantitative equity analysis even more powerful and encompassing.
Author :
Publisher : Lulu.com
ISBN 13 : 9291316695
Total Pages : 294 pages
Book Rating : 4.2/5 (913 download)
Download or read book International Convergence of Capital Measurement and Capital Standards written by and published by Lulu.com. This book was released on 2004 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 546 pages
Book Rating : 4.F/5 ( download)
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2009-06 with total page 546 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : American Bar Association. House of Delegates
Publisher : American Bar Association
ISBN 13 : 9781590318737
Total Pages : 216 pages
Book Rating : 4.3/5 (187 download)
Download or read book Model Rules of Professional Conduct written by American Bar Association. House of Delegates and published by American Bar Association. This book was released on 2007 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Model Rules of Professional Conduct provides an up-to-date resource for information on legal ethics. Federal, state and local courts in all jurisdictions look to the Rules for guidance in solving lawyer malpractice cases, disciplinary actions, disqualification issues, sanctions questions and much more. In this volume, black-letter Rules of Professional Conduct are followed by numbered Comments that explain each Rule's purpose and provide suggestions for its practical application. The Rules will help you identify proper conduct in a variety of given situations, review those instances where discretionary action is possible, and define the nature of the relationship between you and your clients, colleagues and the courts.
Author : Söhnke M. Bartram
Publisher : CFA Institute Research Foundation
ISBN 13 : 195292703X
Total Pages : 95 pages
Book Rating : 4.9/5 (529 download)
Download or read book Artificial Intelligence in Asset Management written by Söhnke M. Bartram and published by CFA Institute Research Foundation. This book was released on 2020-08-28 with total page 95 pages. Available in PDF, EPUB and Kindle. Book excerpt: Artificial intelligence (AI) has grown in presence in asset management and has revolutionized the sector in many ways. It has improved portfolio management, trading, and risk management practices by increasing efficiency, accuracy, and compliance. In particular, AI techniques help construct portfolios based on more accurate risk and return forecasts and more complex constraints. Trading algorithms use AI to devise novel trading signals and execute trades with lower transaction costs. AI also improves risk modeling and forecasting by generating insights from new data sources. Finally, robo-advisors owe a large part of their success to AI techniques. Yet the use of AI can also create new risks and challenges, such as those resulting from model opacity, complexity, and reliance on data integrity.
Author : Fredj Jawadi
Publisher : Springer
ISBN 13 : 3319987143
Total Pages : 192 pages
Book Rating : 4.3/5 (199 download)
Download or read book Uncertainty, Expectations and Asset Price Dynamics written by Fredj Jawadi and published by Springer. This book was released on 2018-11-30 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written in honor of Emeritus Professor Georges Prat (University of Paris Nanterre, France), this book includes contributions from eminent authors on a range of topics that are of interest to researchers and graduates, as well as investors and portfolio managers. The topics discussed include the effects of information and transaction costs on informational and allocative market efficiency, bubbles and stock price dynamics, paradox of rational expectations and the principle of limited information, uncertainty and expectation hypotheses, oil price dynamics, and nonlinearity in asset price dynamics.
