Similar Search Results

Can Facebook Predict Stock Market Activity?

Karabulut, Yigitcan - 2014

Using a novel and direct measure of investor sentiment, I find that Facebook's Gross National Happiness (GNH) has the ability to predict changes in both daily returns and trading volume in the US stock market. For instance, an increase of one standard deviation in GNH is associated with an...

Persistent link: https://www.econbiz.de/10013067495

Informational Content of CEO Tweets and Stock Market Predictability

Lee, Kang-Pyo; Song, Suyong - 2022

This paper shows that CEO tweets contain informational content on the U.S. stock markets and provide investors with value-relevant information on predicting the stock price movement. We create a large, unique sample of CEO users on Twitter, extract hashtags and sentiments that can be used as...

Persistent link: https://www.econbiz.de/10014239425

Can Facebook Predict Stock Market Activity?

Karabulut, Yigitcan - 2016

Persistent link: https://www.econbiz.de/10013008256

Predictable Price Pressure

Hartzmark, Samuel M.; Solomon, David H. - 2021

We present evidence that stock returns, at the market and individual stock level, can be predicted by the timing of uninformed investor cashflows that are known in advance. A core prediction of standard asset pricing models and the efficient market hypothesis is that such flows should not...

Persistent link: https://www.econbiz.de/10013225434

Expected Returns and the Predictability of Equity Lending Fees

Andrews, Spencer - 2022

Using a novel equity lending dataset, this paper is the first to show that expected returns strongly and negatively predict future equity lending fees. In comparing two expected return measures, I find that a rational expected return has stronger predictive power of future short selling activity...

Persistent link: https://www.econbiz.de/10013491786

Gambling, risk appetite and asset pricing

Carvalho, Carlos Viana de; Cordeiro, Daniel; Ribeiro, … - 2018 - This version: March 2018

A measure of the propensity to gamble in casinos constructed without any asset price data provides relevant information for asset pricing. This measure of risk appetite improves the fit of conditional asset pricing models such as the conditional CAPM, explains crosssectional differences in...

Persistent link: https://www.econbiz.de/10011817098

Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach

Rachev, Svetlozar T. - 2020

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …

Persistent link: https://www.econbiz.de/10012842392

Investor Sentiment and Paradigm Shifts in Equity Return Forecasting

Chu, Liya; He, Xue-zhong; Li, Kai; Tu, Jun - 2022

This study investigates the impact of investor sentiment on excess equity return forecasting. A high (low) investor sentiment may weaken the connection between fundamental economic (behavioral-based non-fundamental) predictors and market returns. We find that although fundamental variables can...

Persistent link: https://www.econbiz.de/10013405087

Financial Volatility Forecasting

Vafopoulos, Michalis N. - 2011

The volatility of equity and foreign exchange market is an important input to portfolio selection and to asset pricing models. Many investment decisions and valuation of derivatives frequently rely on predictions of volatility. In this paper we review the existing empirical literature in...

Persistent link: https://www.econbiz.de/10013122403

Does the macroeconomy predict UK asset returns in an nonlinear fashion? : comprehensive out-of-sample evidence

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2010

We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...

Persistent link: https://www.econbiz.de/10008990694