Showing 1 - 10 of 25,807
We distill sentiment from a huge assortment of NASDAQ news articles by means of machine learning methods and examine its predictive power in single-stock option markets and equity markets. We provide evidence that single-stock options react to contemporaneous sentiment. Next, examining return...
Persistent link: https://www.econbiz.de/10012915186
In this era of inexpensive computation and vast data, systematic, or algorithmically driven, investment is increasingly popular. Systematic strategies appear in stand-alone products as well in tail-hedging and defensive-overlay strategies. Indeed, given the enormous growth in data, it is...
Persistent link: https://www.econbiz.de/10013238858
We reveal a novel channel through which market participants' sentiment influences how they forecast stock returns: their optimism (pessimism) affects the weights they assign to fundamentals. Our analysis yields four main findings. First, if good (bad) “news” about dividends and interest...
Persistent link: https://www.econbiz.de/10012834037
We propose a practical framework to detect mispricing, test informational efficiency and evaluate the behavioural biases within high-frequency prediction markets, especially in how prices react to news. We show this using betting exchange data for association football, exploiting the moment when...
Persistent link: https://www.econbiz.de/10012845884
In 2021, meme stocks attracted investors and scholars’ attention. Using Wavelet Coherence analysis, we test in a sentiment analysis framework the dynamic interdependence between the AMC Theatres stock performance and the explanatory factors of Google Trends index, Put-Call ratio, and Trading...
Persistent link: https://www.econbiz.de/10013297828
We build a parsimonious agent-based model under the adaptive market hypothesis (AMH), which can explain the formation of equilibrium prices and market efficiency dynamics. Our model combines heterogeneous interacting agents, switching behavior, and investor feedback on past realized returns,...
Persistent link: https://www.econbiz.de/10013334820
This study examines the impact of investor attention on portfolio volatility and sectoral risk spillovers in Borsa Istanbul. We use advanced econometric models, including E-GARCH-X, GJR-GARCH-X, and multivariate BEKK-GARCH-X, and analyze daily data from January 2004 to June 2024. We find that...
Persistent link: https://www.econbiz.de/10015334500
The 2008 financial crisis has led to the breakdown of the new synthesis consensus in the mainstream economic theories. Rational expectations (RE) and non-rational expectations (NRE) have respectively explained the policy irrelevance of and the behavior departure from standard economic theories....
Persistent link: https://www.econbiz.de/10012951461
Purpose Utilising a database that distinctly classifies firm-level ESG (environmental, social and governance) news sentiment as positive or negative, the authors examine the information flow between the two types of ESG news sentiment and stock returns for 20 companies listed on the Johannesburg...
Persistent link: https://www.econbiz.de/10014418091
We examine the relationship between equity and foreign exchange markets at, and around, the WM/Reuters benchmark exchange rate known as the the 'Fix'. Execution at the Fix is a service offered by brokers provided they obtain the trade order before 4pm GMT. We have three main goals with this...
Persistent link: https://www.econbiz.de/10012900670