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Forecasting returns with fundamentals-removed investor sentiment

Stivers, Adam - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 319-341

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 Wurgler index creates an index of investor...

Persistent link: https://www.econbiz.de/10011312208

Whose option ratios contain information about future stock prices?

Koo, Bonha; Kim, Ryumi - In: Journal of derivatives and quantitative studies : … 32 (2024) 1, pp. 58-81

Using the next-day and next-week returns of stocks in the Korean market, we examine the association of option volume ratios - i.e. the option-to-stock (O/S) ratio, which is the total volume of put options and call options scaled by total underlying equity volume, and the put-call (P/C) ratio,...

Persistent link: https://www.econbiz.de/10014497179

How fears index and liquidity affect returns of ivol puzzle before and during the Covid-19 pandemic

Khoa Dang Duong; Man Minh Tran; Diep Van Nguyen; Hoa … - In: Cogent economics & finance 10 (2022) 1, pp. 1-17

This study examines the impacts of investor sentiment and liquidity on the idiosyncratic volatility (IVOL) anomaly … in Vietnam after controlling for FEARS sentiment index and liquidity proxies. Our findings document the persistence of … contribute new evidence of how the FEARS index and liquidity help explain the IVOL puzzle before and during the pandemic. Our …

Persistent link: https://www.econbiz.de/10013373164

Liquidity, Style Investing, and Excess Comovement of Exchange-Traded Fund Returns

Broman, Markus S. - 2016

shocks and attractive liquidity characteristics. These findings are consistent with the idea that the high liquidity of ETFs …

Persistent link: https://www.econbiz.de/10013007326

Risk Premiums, Liquidities, and Bubbles under Heterogeneous Beliefs

Cao, Huining Henry - 2016

liquidity. Bubbles can arise without the short-sales constraint. We show that the more frequently investors trade in the future …

Persistent link: https://www.econbiz.de/10012985235

Disposition Sales and Stock Market Liquidity

Choi, Darwin - 2019

I examine the impact of the V-shaped disposition effect, which results in uninformed sales when investors realize large gains and losses. Adverse selection risk is reduced in the presence of more uninformed sales. I show in a model that market makers should post tighter bid-ask spreads and quote...

Persistent link: https://www.econbiz.de/10012905858

Investor Composition and Liquidity : An Analysis of Japanese Stocks

Jiang, Hao - 2014

liquidity. Our analysis of a panel of firm-level ownership data indicates that Japanese stocks that are held more by foreign …

Persistent link: https://www.econbiz.de/10013065675

Limelight on dark markets : an experimental study of liquidity and information

Berentsen, Aleksander; McBride, Michael; Rocheteau, … - 2013

The goal of this paper is to study how informational frictions affect asset liquidity in OTC markets in a laboratory …

Persistent link: https://www.econbiz.de/10009763984

Flights to safety

Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - 2012

Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On...

Persistent link: https://www.econbiz.de/10011590578

Do mutual funds and ETFs affect the commonality in liquidity of corporate bonds?

Çötelioğlu, Efe - 2020

The paper studies the effect of growing mutual fund and ETF ownership on the commonality in liquidity of underlying … bonds. Unpredictable liquidity needs of funds may give rise to correlated trading across underlying illiquid bonds. I … document that there is a positive and significant relationship between ETF ownership and liquidity commonality of investment …

Persistent link: https://www.econbiz.de/10012419383