Showing 1 - 10 of 1,434
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
Volatility in financial markets is a highly explored area of research for the last few decades. Possible reasons for high concentration on the markets are its unexplained and unexplored sources. The present study aims to check certain macroeconomic variables as determinants of financial markets...
Persistent link: https://www.econbiz.de/10012814087
This paper provides evidence that the market does not efficiently incorporate expected returns implied by analyst price targets into prices. I use a novel decomposition to extract information and bias components from these analyst-expected returns and develop an asset pricing framework that...
Persistent link: https://www.econbiz.de/10012891666
Trading in cryptocurrencies has grown rapidly over the last decade, primarily dominated by retail investors. Using a large dataset of more than 200,000 retail traders from eToro, we show that they have a different model of the underlying price dynamics in cryptocurrencies compared to other...
Persistent link: https://www.econbiz.de/10014238027
The excess levels of investor participation coupled with irrational behaviour in the South African bond market causes excess volatility, which in turn exposes investors to losses. Consequently, the study aims to examine the effect of market-wide investor sentiment on government bond index...
Persistent link: https://www.econbiz.de/10015197568
The purpose of this research is to examine the impact of sentiment derived from news headlines on the direction of stock price changes. The study examines stocks listed on the WIG-banking sub-sector index on the Warsaw Stock Exchange. Two types of data were used: textual and market data. The...
Persistent link: https://www.econbiz.de/10012887921
Natural disasters such as hurricanes, floods, heatwaves and wildfires are projected to become more prevalent in the foreseeable future. Climate risk is therefore increasingly recognized as an important factor by policy makers, the investment community, and financial markets. Due to the...
Persistent link: https://www.econbiz.de/10013295364
We distill tone from a huge assortment of NASDAQ articles to examine the predictive power of media-expressed tone in single-stock option markets and equity markets. We find that (1) option markets are impacted by media tone; (2) option variables predict stock returns along with tone; (3) option...
Persistent link: https://www.econbiz.de/10012827650
We develop a four-factor model intended to capture size, value, and credit rating transition patterns in excess returns for a panel of predominantly mid- and large-cap entities. Using credit transition matrices and rating histories from 48 US issuers, we provide evidence to support a...
Persistent link: https://www.econbiz.de/10012832284
We develop a four-factor model intended to capture size, value, and credit rating transition patterns in excess returns for a panel of predominantly mid- and large-cap entities. Using credit transition matrices and rating histories from 48 US issuers, we provide evidence to support a...
Persistent link: https://www.econbiz.de/10012242861