Investor Sentiment And Mean Variance Relation Evidence From Taiwan Stock Market

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Inefficient Markets

Author : Andrei Shleifer
Publisher : OUP Oxford
ISBN 13 : 0191606898
Total Pages : 308 pages
Book Rating : 4.1/5 (916 download)

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Book Synopsis Inefficient Markets by : Andrei Shleifer

Download or read book Inefficient Markets written by Andrei Shleifer and published by OUP Oxford. This book was released on 2000-03-09 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient markets hypothesis has been the central proposition in finance for nearly thirty years. It states that securities prices in financial markets must equal fundamental values, either because all investors are rational or because arbitrage eliminates pricing anomalies. This book describes an alternative approach to the study of financial markets: behavioral finance. This approach starts with an observation that the assumptions of investor rationality and perfect arbitrage are overwhelmingly contradicted by both psychological and institutional evidence. In actual financial markets, less than fully rational investors trade against arbitrageurs whose resources are limited by risk aversion, short horizons, and agency problems. The book presents and empirically evaluates models of such inefficient markets. Behavioral finance models both explain the available financial data better than does the efficient markets hypothesis and generate new empirical predictions. These models can account for such anomalies as the superior performance of value stocks, the closed end fund puzzle, the high returns on stocks included in market indices, the persistence of stock price bubbles, and even the collapse of several well-known hedge funds in 1998. By summarizing and expanding the research in behavioral finance, the book builds a new theoretical and empirical foundation for the economic analysis of real-world markets.

A Behavioral Approach to Asset Pricing

Author : Hersh Shefrin
Publisher : Elsevier
ISBN 13 : 0080482244
Total Pages : 636 pages
Book Rating : 4.0/5 (84 download)

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Book Synopsis A Behavioral Approach to Asset Pricing by : Hersh Shefrin

Download or read book A Behavioral Approach to Asset Pricing written by Hersh Shefrin and published by Elsevier. This book was released on 2008-05-19 with total page 636 pages. Available in PDF, EPUB and Kindle. Book excerpt: Behavioral finance is the study of how psychology affects financial decision making and financial markets. It is increasingly becoming the common way of understanding investor behavior and stock market activity. Incorporating the latest research and theory, Shefrin offers both a strong theory and efficient empirical tools that address derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio. The book provides a series of examples to illustrate the theory. The second edition continues the tradition of the first edition by being the one and only book to focus completely on how behavioral finance principles affect asset pricing, now with its theory deepened and enriched by a plethora of research since the first edition

Price-Based Investment Strategies

Author : Adam Zaremba
Publisher : Springer
ISBN 13 : 3319915304
Total Pages : 325 pages
Book Rating : 4.3/5 (199 download)

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Book Synopsis Price-Based Investment Strategies by : Adam Zaremba

Download or read book Price-Based Investment Strategies written by Adam Zaremba and published by Springer. This book was released on 2018-07-25 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: This compelling book examines the price-based revolution in investing, showing how research over recent decades has reinvented technical analysis. The authors discuss the major groups of price-based strategies, considering their theoretical motivation, individual and combined implementation, and back-tested results when applied to investment across country stock markets. Containing a comprehensive sample of performance data, taken from 24 major developed markets around the world and ranging over the last 25 years, the authors construct practical portfolios and display their performance—ensuring the book is not only academically rigorous, but practically applicable too. This is a highly useful volume that will be of relevance to researchers and students working in the field of price-based investing, as well as individual investors, fund pickers, market analysts, fund managers, pension fund consultants, hedge fund portfolio managers, endowment chief investment officers, futures traders, and family office investors.

Efficiency and Anomalies in Stock Markets

Author : Wing-Keung Wong
Publisher : Mdpi AG
ISBN 13 : 9783036530802
Total Pages : 232 pages
Book Rating : 4.5/5 (38 download)

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Book Synopsis Efficiency and Anomalies in Stock Markets by : Wing-Keung Wong

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.

The effect of weather on stock returns: A comparison between emerging and developed markets

Author : Irina Prodan
Publisher : Anchor Academic Publishing (aap_verlag)
ISBN 13 : 3954895560
Total Pages : 54 pages
Book Rating : 4.9/5 (548 download)

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Book Synopsis The effect of weather on stock returns: A comparison between emerging and developed markets by : Irina Prodan

Download or read book The effect of weather on stock returns: A comparison between emerging and developed markets written by Irina Prodan and published by Anchor Academic Publishing (aap_verlag). This book was released on 2013-06-01 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: One renowned and frequently researched anomaly over the last two decades is the weather effect, more precisely, the impact of weather on stock market returns. The extensive literature on the weather effect fails to converge towards a unique, systematic and robust relationship between the weather, and the stock market. Therefore, the aim of this paper is to explain the contradictory results in the literature by testing whether stock prices are affected by the weather in a significantly different manner depending on the level of market development, and explaining how this difference behaves over time. In order to test for this, city-by-city, pooled and binary regressions are employed using data of 10 developed, and 10 emerging countries over the period 1996-2011 by using two different means of seasonal adjustment.

The Handbook of Equity Market Anomalies

Author : Leonard Zacks
Publisher : John Wiley & Sons
ISBN 13 : 1118127765
Total Pages : 352 pages
Book Rating : 4.1/5 (181 download)

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Book Synopsis The Handbook of Equity Market Anomalies by : Leonard Zacks

Download or read book The Handbook of Equity Market Anomalies written by Leonard Zacks and published by John Wiley & Sons. This book was released on 2011-08-24 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Quantile Regression

Author : Roger Koenker
Publisher : Cambridge University Press
ISBN 13 : 1139444719
Total Pages : 367 pages
Book Rating : 4.1/5 (394 download)

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Book Synopsis Quantile Regression by : Roger Koenker

Download or read book Quantile Regression written by Roger Koenker and published by Cambridge University Press. This book was released on 2005-05-05 with total page 367 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantile regression is gradually emerging as a unified statistical methodology for estimating models of conditional quantile functions. By complementing the exclusive focus of classical least squares regression on the conditional mean, quantile regression offers a systematic strategy for examining how covariates influence the location, scale and shape of the entire response distribution. This monograph is the first comprehensive treatment of the subject, encompassing models that are linear and nonlinear, parametric and nonparametric. The author has devoted more than 25 years of research to this topic. The methods in the analysis are illustrated with a variety of applications from economics, biology, ecology and finance. The treatment will find its core audiences in econometrics, statistics, and applied mathematics in addition to the disciplines cited above.

Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes)

Author : Cheng Few Lee
Publisher : World Scientific
ISBN 13 : 9811202400
Total Pages : 5053 pages
Book Rating : 4.8/5 (112 download)

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Book Synopsis Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) by : Cheng Few Lee

Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

The Heretics of Finance

Author : Andrew W. Lo
Publisher : John Wiley and Sons
ISBN 13 : 047088536X
Total Pages : 290 pages
Book Rating : 4.4/5 (78 download)

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Book Synopsis The Heretics of Finance by : Andrew W. Lo

Download or read book The Heretics of Finance written by Andrew W. Lo and published by John Wiley and Sons. This book was released on 2010-05-21 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Heretics of Finance provides extraordinary insight into both the art of technical analysis and the character of the successful trader. Distinguished MIT professor Andrew W. Lo and researcher Jasmina Hasahodzic interviewed thirteen highly successful, award-winning market professionals who credit their substantial achievements to technical analysis. The result is the story of technical analysis in the words of the people who know it best; the lively and candid interviews with these gurus of technical analysis. The first half of the book focuses on the technicians' careers: How and why they learned technical analysis What market conditions increase their chances of making mistakes What their average workday is like To what extent trading controls their lives Whether they work on their own or with a team How their style of technical analysis is unique The second half concentrates on technical analysis and addresses questions such as these: Did the lack of validation by academics ever cause you to doubt technical analysis? Can technical analysis be applied to other disciplines? How do you prove the validity of the method? How has computer software influenced the craft? What is the role of luck in technical analysis? Are there laws that underlie market action? What traits characterize a highly successful trader? How do you test patterns before you start using them with real money? Interviewees include: Ralph J. Acampora, Laszlo Birinyi, Walter Deemer, Paul Desmond, Gail Dudack, Robert J. Farrell, Ian McAvity, John Murphy, Robert Prechter, Linda Raschke, Alan R. Shaw, Anthony Tabell, Stan Weinstein.

Analyzing Media Messages

Author : Daniel Riff
Publisher : Routledge
ISBN 13 : 1135605106
Total Pages : 253 pages
Book Rating : 4.1/5 (356 download)

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Book Synopsis Analyzing Media Messages by : Daniel Riff

Download or read book Analyzing Media Messages written by Daniel Riff and published by Routledge. This book was released on 2006-04-21 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analyzing Media Messages provides a comprehensive and comprehensible guide to conducting content analysis research. It establishes a formal definition of quantitative content analysis; gives step-by-step instruction on designing a content analysis study; and explores in depth research questions that recur in content analysis, in such areas as measurement, sampling, reliability, data analysis, validity, and technology. This Second Edition maintains the concise, accessible approach of the first edition while offering an updated discussion and new examples. The goal of this resource is to make content analysis understandable, and to produce a useful guide for novice and experienced researchers alike. Accompanied by detailed, practical examples of current and classic applications, this volume is appropriate for use as a primary text for content analysis coursework, or as a supplemental text in research methods courses. It is also an indispensable reference for researchers in mass communication fields, political science, and other social and behavioral sciences.

Global Financial Stability Report, April 2012

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
ISBN 13 : 1616352477
Total Pages : 94 pages
Book Rating : 4.6/5 (163 download)

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Book Synopsis Global Financial Stability Report, April 2012 by : International Monetary Fund. Monetary and Capital Markets Department

Download or read book Global Financial Stability Report, April 2012 written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2012-04-18 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt: The April 2012 Global Financial Stability Report assesses changes in risks to financial stability over the past six months, focusing on sovereign vulnerabilities, risks stemming from private sector deleveraging, and assessing the continued resilience of emerging markets. The report probes the implications of recent reforms in the financial system for market perception of safe assets, and investigates the growing public and private costs of increased longevity risk from aging populations.

Corporate Payout Policy

Author : Harry DeAngelo
Publisher : Now Publishers Inc
ISBN 13 : 1601982046
Total Pages : 215 pages
Book Rating : 4.6/5 (19 download)

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Book Synopsis Corporate Payout Policy by : Harry DeAngelo

Download or read book Corporate Payout Policy written by Harry DeAngelo and published by Now Publishers Inc. This book was released on 2009 with total page 215 pages. Available in PDF, EPUB and Kindle. Book excerpt: Corporate Payout Policy synthesizes the academic research on payout policy and explains "how much, when, and how". That is (i) the overall value of payouts over the life of the enterprise, (ii) the time profile of a firm's payouts across periods, and (iii) the form of those payouts. The authors conclude that today's theory does a good job of explaining the general features of corporate payout policies, but some important gaps remain. So while our emphasis is to clarify "what we know" about payout policy, the authors also identify a number of interesting unresolved questions for future research. Corporate Payout Policy discusses potential influences on corporate payout policy including managerial use of payouts to signal future earnings to outside investors, individuals' behavioral biases that lead to sentiment-based demands for distributions, the desire of large block stockholders to maintain corporate control, and personal tax incentives to defer payouts. The authors highlight four important "carry-away" points: the literature's focus on whether repurchases will (or should) drive out dividends is misplaced because it implicitly assumes that a single payout vehicle is optimal; extant empirical evidence is strongly incompatible with the notion that the primary purpose of dividends is to signal managers' views of future earnings to outside investors; over-confidence on the part of managers is potentially a first-order determinant of payout policy because it induces them to over-retain resources to invest in dubious projects and so behavioral biases may, in fact, turn out to be more important than agency costs in explaining why investors pressure firms to accelerate payouts; the influence of controlling stockholders on payout policy --- particularly in non-U.S. firms, where controlling stockholders are common --- is a promising area for future research. Corporate Payout Policy is required reading for both researchers and practitioners interested in understanding this central topic in corporate finance and governance.

Risk Analysis and Portfolio Modelling

Author : Elisa Luciano
Publisher : MDPI
ISBN 13 : 3039216244
Total Pages : 224 pages
Book Rating : 4.0/5 (392 download)

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Book Synopsis Risk Analysis and Portfolio Modelling by : Elisa Luciano

Download or read book Risk Analysis and Portfolio Modelling written by Elisa Luciano and published by MDPI. This book was released on 2019-10-16 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Risk Measurement is a challenging task, because both the types of risk and the techniques evolve very quickly. This book collects a number of novel contributions to the measurement of financial risk, which address either non-fully explored risks or risk takers, and does so in a wide variety of empirical contexts.

Alphanomics

Author : Charles Lee
Publisher : Now Publishers
ISBN 13 : 9781601988928
Total Pages : 212 pages
Book Rating : 4.9/5 (889 download)

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Book Synopsis Alphanomics by : Charles Lee

Download or read book Alphanomics written by Charles Lee and published by Now Publishers. This book was released on 2015-12-16 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: Alphanomics: The Informational Underpinnings of Market Efficiency is intended to be a compact introduction to academic research on market efficiency, behavioral finance, and fundamental analysis and is dedicated to the kind of decision-driven and prospectively-focused research that is much needed in a market constantly seeking to become more efficient. The authors refer to this type of research as Alphanomics, the informational economics behind market efficiency. Alpha refers to the abnormal returns, which provide the incentive for some subpopulation of investors to engage in information acquisition and costly arbitrage activities. Nomics refers to the economics of alpha extraction, which encompasses the costs and incentives of informational arbitrage as a sustainable business proposition. Some of the questions that are addressed include: why do we believe markets are efficient?; what problems have this belief engendered?; what factors can impede and/or facilitate market efficiency?; what roles do investor sentiment and costly arbitrage play in determining an equilibrium level of informational efficiency?; what is the essence of value investing?; how is it related to fundamental analysis (the study of historical financial data)?; and how might we distinguish between risk and mispricing based explanations for predictability patterns in returns? The first two sections review the evolution of academic thinking on market efficiency and introduce the noise trader model as a rational alternative. Section 3 surveys the literature on investor sentiment and its role as a source of both risks and returns. Section 4 discusses the role of fundamental analysis in value investing. Section 5 reviews the literature on limits to arbitrage, and section 6 discusses research methodology issues associated with the need to distinguish mispricing from risk.

Behavioralizing Finance

Author : Hersh Shefrin
Publisher : Now Publishers Inc
ISBN 13 : 1601983301
Total Pages : 196 pages
Book Rating : 4.6/5 (19 download)

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Book Synopsis Behavioralizing Finance by : Hersh Shefrin

Download or read book Behavioralizing Finance written by Hersh Shefrin and published by Now Publishers Inc. This book was released on 2010 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: Behavioralizing Finance provides a structured approach to behavioral finance in respect to underlying psychological concepts, formal framework, testable hypotheses, and empirical findings.

Stocks for the Long Run, 4th Edition

Author : Jeremy J. Siegel
Publisher : McGraw Hill Professional
ISBN 13 : 0071643923
Total Pages : 407 pages
Book Rating : 4.0/5 (716 download)

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Book Synopsis Stocks for the Long Run, 4th Edition by : Jeremy J. Siegel

Download or read book Stocks for the Long Run, 4th Edition written by Jeremy J. Siegel and published by McGraw Hill Professional. This book was released on 2007-12-18 with total page 407 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stocks for the Long Run set a precedent as the most complete and irrefutable case for stock market investment ever written. Now, this bible for long-term investing continues its tradition with a fourth edition featuring updated, revised, and new material that will keep you competitive in the global market and up-to-date on the latest index instruments. Wharton School professor Jeremy Siegel provides a potent mix of new evidence, research, and analysis supporting his key strategies for amassing a solid portfolio with enhanced returns and reduced risk. In a seamless narrative that incorporates the historical record of the markets with the realities of today's investing environment, the fourth edition features: A new chapter on globalization that documents how the emerging world will soon overtake the developed world and how it impacts the global economy An extended chapter on indexing that includes fundamentally weighted indexes, which have historically offered better returns and lower volatility than their capitalization-weighted counterparts Insightful analysis on what moves the market and how little we know about the sources of big market changes A sobering look at behavioral finance and the psychological factors that can lead investors to make irrational investment decisions A major highlight of this new edition of Stocks for the Long Run is the chapter on global investing. With the U.S. stock market currently holding less than half of the world's equity capitalization, it's important for investors to diversify abroad. This updated edition shows you how to create an “efficient portfolio” that best balances asset allocation in domestic and foreign markets and provides thorough coverage on sector allocation across the globe. Stocks for the Long Run is essential reading for every investor and advisor who wants to fully understand the market-including its behavior, past trends, and future influences-in order to develop a prosperous long-term portfolio that is both safe and secure.

Pricing Protest: The Response of Financial Markets to Social Unrest

Author : International Monetary Fund
Publisher : INTERNATIONAL MONETARY FUND
ISBN 13 : 9781513572765
Total Pages : 69 pages
Book Rating : 4.5/5 (727 download)

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Book Synopsis Pricing Protest: The Response of Financial Markets to Social Unrest by : International Monetary Fund

Download or read book Pricing Protest: The Response of Financial Markets to Social Unrest written by International Monetary Fund and published by INTERNATIONAL MONETARY FUND. This book was released on 2021-03-19 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a new daily index of social unrest, we provide systematic evidence on the negative impact of social unrest on stock market performance. An average social unrest episode in an typical country causes a 1.4 percentage point drop in cumulative abnormal returns over a two-week event window. This drop is more pronounced for events that last longer and for events that happen in emerging markets. Stronger institutions, particularly better governance and more democratic systems, mitigate the adverse impact of social unrest on stock market returns.