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Takanori Hisada
Pág. 315 - 318
This study investigates the relationships among an exchange merger, investor sentiment, and liquidity by analyzing data from the 2013 merger of the Tokyo Stock Exchange and Osaka Securities Exchange. In contrast to prior studies, this study considers the...
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Sourav Prasad, Sabyasachi Mohapatra, Molla Ramizur Rahman and Amit Puniyani
The Investor Sentiment Index (ISI) is widely regarded as a useful measure to gauge the overall mood of the market. Investor panic may result in contagion, causing failure in financial markets. Market participants widely use the ISI indicator to understan...
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Mariem Talbi,Amel Ben Halima
Pág. 163 - 174
This paper contributes to a growing body of literature studying investor sentiment. Sentiment measures for USA investors are constructed from commonly cited sentiment indicators using the first principle component method. We then examine if the investor ...
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Chandana Gunathilaka,Mohamad Jais,Sophee Sulong Balia
Pág. 478 - 487
Market illiquidity and investor sentiment show a significant role in Malaysian capital market, the variation of average stock returns left unexplained by capital asset pricing model is covered effectively by illiquidity and sentiment risks. Our investor ...
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Bayram Veli Salur and Cumhur Ekinci
We examine whether investor sentiment can explain anomalies such as size and book-to-market in the US stock market. Differently from the literature, we test combination portfolios (portfolios formed on more than one factor such as size, book-to-market ra...
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Hashmat Ali,Zulfiqar Ali Menon,Ajab Khan,Muhammad Muddassar Khan,Imad Ali,Khan Baz,Muhammad Arif,Manzoor Hussain,Waqar Jalal
Pág. 139 - 148
Motivated by the previous literature on investor sentiment and assuming that terrorist activities affect investor mood, this study attempts to address the psychological impact of terrorism for investors in Pakistan stock market. Apart from a direct econo...
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Ki-Hong Choi and Seong-Min Yoon
This paper investigates herding behavior and the connection between herding behavior and investor sentiment. We apply a Cross-Sectional Absolute Deviation (CSAD) approach and the quantile regression method to capture herding behavior in the KOSPI and KOS...
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Pei En Lee
Pág. 119 - 124
In Taiwan stock market, most participants are individual investors. Thus, the objective of this empirical study is to explore whether the investor sentiment and investor behavior have considerably influence on the stock return. The study tries to search ...
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Hooman Abdollahi,Seyed Babak Ebrahimi,Hamed Tayebi
Pág. 201 - 206
Beta anomaly is one of the greatest anomalies in finance literature as CAPM conveys a positive relationship between the beta of a stock and future returns; however, empirical studies do not document this proposition. Branded as betting against beta, this...
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Adam Stivers
The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and ...
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Rama Krishna Yelamanchili
Pág. 109 - 114
This paper aims to study predictive ability of consumer sentiment of individual stocks. We consider two proxies for sentiment. One is explicit (Index of Consumer Sentiment, ICS), second is implicit (Broad Market Indicator, S&PBSE500) and we pick 50 stock...
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Sini?a Bogdan, Natali Brmalj and Elvis Mujacevic
This research addresses the impact of individual investors on the cryptocurrency market, focusing specifically on the development of herd behavior. Although the phenomenon of herd behavior has been studied extensively in the stock market, it has received...
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Serkan Karadas, Jorida Papakroni and Minh Tam Tammy Schlosky
This study examines the relationship between corporate managers? political ideology and corporate leverage policies conditional on investor sentiment. Based on a minimum of 21,884 observations over the 1992?2008 period, the authors show that Republican m...
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Arindam Banerjee
Pág. 268 - 276
The India VIX represents the sentiment of traders in the Indian market, so by forecasting the future value of India VIX, we get a feel for investor sentiment in future. The objective of this study is to fit a forecasting model on India VIX using auto reg...
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Joakim Kvamvold
Pág. 236 - 242
We examine trading caused by net flows to mutual funds invested at the Oslo Stock Exchange. Our results show that trading by index-linked mutual funds and actively managed funds are correlated with returns on different segments of the stock exchange. Nei...
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Jon Hooks, Sarah Erdman
This paper seeks to further investigate the quandary of closed-end fund discounts known as the four-piece puzzle. While other researchers have taken a behavior approach (investor sentiment, etc.), this study will explore empirical data on several variabl...
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Shuibin Gu,Regina Naa Amua Dodoo
Pág. 444 - 454
Annual report readability is necessary to prevent the imbalanced flow of information and enhance stakeholders? view of the firm. For that reason, it is crucial to examine the factors than can affect it. This study attempts to find the impact of firm perf...
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Yudhvir Seetharam,Jesse A. Da Cunha
AbstractUnderstanding the stock market?s reaction to secondary equity offerings (SEOs) is vital for managers who are commonly tasked with deciding on how to finance their firm?s operations. This study investigated the short-run performance of firms condu...
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Liping Zou,Ruishan Chen
Pág. 133 - 143
This study documents that contrarian investment strategies offer superior returns because these strategies exploit investors? expectation errors. There are two sources of expectation errors, naïve extrapolation of past performance and biased analysts? ea...
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