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Investor Attention And Stock Market Volatility
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Book Synopsis Investor Attention and Stock Market Volatility by : Daniel Andrei
Download or read book Investor Attention and Stock Market Volatility written by Daniel Andrei and published by . This book was released on 2017 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate in a theoretical framework the joint role played by investors' attention to news and learning uncertainty in determining asset prices. The model provides two main predictions. First, stock return variance and risk premia increase with both attention and uncertainty. Second, this increasing relationship is quadratic. We empirically test these two predictions, and we show that the data lend support to the increasing relationship. The evidence for a quadratic relationship is mixed. Overall, our study shows theoretically and empirically that both attention and uncertainty are key determinants of asset prices.
Book Synopsis Essays on Investors' Sentiment and Attention by : Daniele Ballinari
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.
Book Synopsis Rules of the Net by : Gerard Van der Leun
Download or read book Rules of the Net written by Gerard Van der Leun and published by Hyperion. This book was released on 1996-03-21 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Explains how to become a master of the "Twelve Essential Commandments of Good Net Behavior," learn appropriate e-mail etiquette, how to properly converse with fellow net surfers, and become a responsible cybercitizen. Original. (All Users).
Book Synopsis May I Have Your Attention, Please by : Christopher Fink
Download or read book May I Have Your Attention, Please written by Christopher Fink and published by . This book was released on 2014 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes how a stock's liquidity, turnover, volatility and returns are driven by short term fluctuations in investor attention. Attention-grabbing stocks are identified by their daily Google Search Volume. A newly developed download algorithm allows the creation of a search volume dataset with more frequent observations. In contrast to the existing literature, this paper provides a long term analysis of daily search volume. The dynamics of investor trading on high and low atten- tion days are examined in an attention-adjusted structural model based on Easley et al. (1996). The increase in trading on high attention days is due to more trading by both informed and uninformed investors; however, the probability of informed trading on high attention days is lower. Turnover and volatility of stocks significantly increase on high attention days whereas liquidity and short term returns are not significantly influenced. This relation is more pronounced for large stocks, stocks with a lower level of cross-sectional attention, and stocks with a higher proportion of retail trading and remains robust in several endogeneity checks. The results provide important insights into the trading dynamics on high attention days and show that these days are characterized by high volatility and uninformed trading.
Book Synopsis Frontier Computing by : Jia-Wei Chang
Download or read book Frontier Computing written by Jia-Wei Chang and published by Springer Nature. This book was released on 2022-01-01 with total page 2343 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gathers the proceedings of the 10th International Conference on Frontier Computing, held in Singapore, on July 10–13, 2020, and provides comprehensive coverage of the latest advances and trends in information technology, science, and engineering. It addresses a number of broad themes, including communication networks, business intelligence and knowledge management, web intelligence, and related fields that inspire the development of information technology. The respective contributions cover a wide range of topics: database and data mining, networking and communications, web and Internet of things, embedded systems, soft computing, social network analysis, security and privacy, optical communication, and ubiquitous/pervasive computing. Many of the papers outline promising future research directions, and the book benefits students, researchers, and professionals alike. Further, it offers a useful reference guide for newcomers to the field.
Download or read book Trading on Investor Attention written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of the thesis is to create a volatility trading strategy, which relies on investors' attention as a trading signal. In the first part of the thesis its approach and general ideas will be introduced to the reader followed by a detailed overview of existing theories and studies. The main focus of the literature selected is to point out the limited ability of traders to process information and the key factors that influence their attention. Subsequently, a foundation to an own model will be laid by describing how a time series of trend data related to the Google Search Volume Index can approximate investor's sentiment and be used as the first foundation of the study. Option volatility information extracted from the OptionMetrics database will serve as the second data pillar. Specifically, the implied and realized volatility of the NASDAQ and S & P 500 indices will serve as subject of analysis. In a bottom line, the two above data sources will be set in comparison to one another by the means of appropriate statistical tools. The analysis section will lead to the main outcome of the study, namely the development of volatility trading strategy. Finally, I will test my trading strategy as well as check the performance results for robustness.
Book Synopsis High Returns from Low Risk by : Pim van Vliet
Download or read book High Returns from Low Risk written by Pim van Vliet and published by John Wiley & Sons. This book was released on 2017-01-17 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: Believing "high-risk equals high-reward" is holding your portfolio hostage High Returns from Low Risk proves that low-volatility, low-risk portfolios beat high-volatility portfolios hands down, and shows you how to take advantage of this paradox to dramatically improve your returns. Investors traditionally view low-risk stocks as safe but unprofitable, but this old canard is based on a flawed premise; it fails to see beyond the monthly horizon, and ignores compounding returns. This book updates the thinking and brings reality to modelling to show how low-risk stocks actually outperform high-risk stocks by an order of magnitude. Easy to read and easy to implement, the plan presented here will help you construct a portfolio that delivers higher returns per unit of risk, and explains how to achieve excellent investment results over the long term. Do you still believe that investors are rewarded for bearing risk, and that the higher the risk, the greater the reward? That old axiom is holding you back, and it is time to start seeing the whole picture. This book shows you, through deep historical simulation, how to reap the rewards of smarter investing. Learn how and why low-risk, low-volatility stocks beat the market Discover the formula that outperforms Greenblatt's Construct your own low-risk portfolio Select the right ETF or low-risk fund to manage your money Great returns and lower risk sound like a winning combination — what happens once everyone is doing it? The beauty of the low-risk strategy is that it continues to work even after the paradox is widely known; long-term investment success is possible for anyone who can shake off the entrenched wisdom and go low-risk. High Returns from Low Risk provides the proof, model and strategy to reign in your exposure while raking in the profit.
Book Synopsis Does Investor Attention Foretell Stock Trading Activities? Evidence from Twitter Attention by : Chen Gu
Download or read book Does Investor Attention Foretell Stock Trading Activities? Evidence from Twitter Attention written by Chen Gu and published by . This book was released on 2018 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the impact of Twitter attention, measured by abnormal number of tweets on stock trading activities. We find that Twitter attention has predictive power for future stock volatility and trading volume. A heightened number of tweets is followed by high volatility and trading volume over the next trading day. This finding is robust when focusing on international markets and controlling for other attention measures. We also find that high Twitter attention strengthens stock price adjustment to recommendation changes whereas it alleviates post-announcement price drift. These findings suggest that market underreaction to new information is related to limited investor attention from social media.
Book Synopsis The Impact of Investor Attention on the Behavior of the Stock Market by : Joshua Matthew Pollet
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:
Book Synopsis Capitalizing China by : Joseph P. H. Fan
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."
Book Synopsis How Novelty and Narratives Drive the Stock Market by : Nicholas Mangee
Download or read book How Novelty and Narratives Drive the Stock Market written by Nicholas Mangee and published by Cambridge University Press. This book was released on 2021-10-14 with total page 451 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Animal spirits' is a term that describes the instincts and emotions driving human behaviour in economic settings. In recent years, this concept has been discussed in relation to the emerging field of narrative economics. When unscheduled events hit the stock market, from corporate scandals and technological breakthroughs to recessions and pandemics, relationships driving returns change in unforeseeable ways. To deal with uncertainty, investors engage in narratives which simplify the complexity of real-time, non-routine change. This book assesses the novelty-narrative hypothesis for the U.S. stock market by conducting a comprehensive investigation of unscheduled events using big data textual analysis of financial news. This important contribution to the field of narrative economics finds that major macro events and associated narratives spill over into the churning stream of corporate novelty and sub-narratives, spawning different forms of unforeseeable stock market instability.
Book Synopsis Market Reaction to News and Investor Attention in Real Time by : Deniz Erdemlioglu
Download or read book Market Reaction to News and Investor Attention in Real Time written by Deniz Erdemlioglu and published by . This book was released on 2017 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a new framework to study investor attention in real time at high frequency. Using information retrieval approach, we construct a proxy for attention from the Twitter messages of financial experts, hedge funds and portfolio managers around the release of unscheduled news announcements. We then examine how markets react to new information in the absence and presence of attention. On implementing our methodology with high-frequency data for large-cap U.S. stocks, we find evidence that news events receiving attention on social media lead to large and persistent changes in trading activity, volatility and price jumps. When the attention is limited, however, the news effects on such trading patterns tend to be smaller and vanish quickly. With respect to reaction timing, we find that approximately one fourth of the news stories arrive first on Twitter before being reported by Bloomberg newswire. This result suggests that movements prior to news releases may not be explained only by private information, but could also be related to timestamp delays. We control for such potential biases by incorporating attention and correcting newswire timestamps. This adjustment considerably eliminates the pre-announcement effects in the data.
Book Synopsis Investor Attention and Stock Market Outcomes by : Yao Chen
Download or read book Investor Attention and Stock Market Outcomes written by Yao Chen and published by . This book was released on 2017 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Trading and Exchanges by : Larry Harris
Download or read book Trading and Exchanges written by Larry Harris and published by OUP USA. This book was released on 2003 with total page 664 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focusing on market microstructure, Harris (chief economist, U.S. Securities and Exchange Commission) introduces the practices and regulations governing stock trading markets. Writing to be understandable to the lay reader, he examines the structure of trading, puts forward an economic theory of trading, discusses speculative trading strategies, explores liquidity and volatility, and considers the evaluation of trader performance. Annotation (c)2003 Book News, Inc., Portland, OR (booknews.com).
Book Synopsis The Mind of Wall Street by : Leon Levy
Download or read book The Mind of Wall Street written by Leon Levy and published by PublicAffairs. This book was released on 2009-03-25 with total page 237 pages. Available in PDF, EPUB and Kindle. Book excerpt: As stock prices and investor confidence have collapsed in the wake of Enron, WorldCom, and the dot-com crash, people want to know how this happened and how to make sense of the uncertain times to come. Into the breach comes one of Wall Street's legendary investors, Leon Levy, to explain why the market so often confounds us, and why those who ought to understand it tend to get chewed up and spat out. Levy, who pioneered many of the innovations and investment instruments that we now take for granted, has prospered in every market for the past fifty years, particularly in today's bear market. In The Mind of Wall Street he recounts stories of his successes and failures to illustrate how investor psychology and willful self-deception so often play critical roles in the process. Like his peers George Soros and Warren Buffett, Levy takes a long and broad view of the rhythms of the markets and the economy. He also offers a provocative analysis of the spectacular Internet bubble, showing that the market has not yet completely recovered from its bout of "irrational exuberance." The Mind of Wall Street is essential reading for all of us, whether we are active traders or simply modest contributors to our 401(k) plans, as volatile and unnerving markets come to define so much of our net worth.
Book Synopsis Twenty Years of Economic Reconstruction in East Germany by : Christian Wey
Download or read book Twenty Years of Economic Reconstruction in East Germany written by Christian Wey and published by . This book was released on 2009 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Limited Investor Attention and Stock Market Misreactions to Accounting Information by : David Hirshleifer
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:
