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Belief Polarization, Unconscious Biases, and Financial Markets

Ma, Nan - 2022

This paper studies how the social transmission of information with echo chambers affects financial markets. In an equilibrium model, investors trade competitively in the market based on public information revealed by asset prices and private information accumulated through word-of-mouth...

Persistent link: https://www.econbiz.de/10014237289

Social Transmission Bias and Investor Behavior

Han, Bing - 2020

We offer a new social approach to investment decision making and asset prices. Investors discuss their strategies and convert others to their strategies with a probability that increases in investment returns. The conversion rate is shown to be convex in realized returns. Unconditionally, active...

Persistent link: https://www.econbiz.de/10012855993

Biased News and Irrational Investors : Evidence from Biased Beliefs about Uncertainty and Information Acquisition

Liu, Jiatao - 2020

Investors who use biased information from news media subsequently tend to make irrational decisions about acquiring firm-specific information compared to rational expectations. This model of information acquisition yields testable predictions that are verified by using a novel dataset. First,...

Persistent link: https://www.econbiz.de/10012822685

Disaggregated Sales and Stock Returns

Agarwal, Sumit - 2020

Using transaction-level credit card spending from a large US financial institution, we show that disaggregated sales … and sales surprises, one inter-quintile increase in the adjusted customer spending during a firm's fiscal quarter leads to …-oriented firms, especially those relying more on indirect sales distribution channels. We also find a stronger return response to …

Persistent link: https://www.econbiz.de/10012854821

Sample Selection and the Relation between Investor Sentiment and Profitable Trading Strategies

Bulsiewicz, James - 2015

Recent evidence suggests that there is strong relation between investor sentiment and cross-sectional anomalies. However, I present evidence of a weak relation between cross-sectional anomalies and investor sentiment. Using a larger collection of cross-sectional anomalies, I find that only a...

Persistent link: https://www.econbiz.de/10013027198

Are Household Investors Noise Traders : Evidence from Belief Dispersion and Stock Trading Volume

Li, Dan - 2014

We document a robust positive relationship between the belief dispersion about macroeconomic conditions among household investors and the stock market trading volume, using more than 30 years of household survey data and a novel approach to measuring belief dispersions. Notably, such a...

Persistent link: https://www.econbiz.de/10013053896

Information Choice, Uncertainty, and Expected Returns

Cao, Charles Q.; Gempesaw, David; Simin, Timothy T. - 2023

We investigate how information choices impact equity returns and risk. Building on an existing theoretical model of information and investment choice, we estimate a learning index that reflects the expected benefits of learning about an asset. High learning index stocks have lower future returns...

Persistent link: https://www.econbiz.de/10014355075

Investor Beliefs and Market Frictions

Korsaye, Sofonias Alemu - 2022

I develop a theoretical framework to identify investors' subjective beliefs that are jointly consistent with survey expectations and asset prices in markets where investors face trading frictions. To quantify the deviation of investors' beliefs from Rational Expectations (RE), I provide a metric...

Persistent link: https://www.econbiz.de/10014236026

Informed Trading, Order Flow Shocks and the Cross-section of Expected Returns in Borsa İstanbul

Tiniç, Murat - 2019

free of any bias due to trade classification algorithms, boundary solutions, floating point exceptions and systematic order …

Persistent link: https://www.econbiz.de/10012862065

Investor sentiment and stock return volatility : evidence from the Johannesburg Stock Exchange

Rupande, Lorraine; Muguto, Hilary Tinotenda; … - In: Cogent economics & finance 7 (2019) 1, pp. 1-16

risk distribution of financial assets. In conventional financial theory, investors are considered to be rational and any …

Persistent link: https://www.econbiz.de/10012023919