Investor sentiment and return predictability of disagreement

Kim, Jun Sik; Ryu, Doojin; Seo, Sung Won

doi:10.1016/j.jbankfin.2014.01.017

Cited by 92 publications

(35 citation statements)

References 56 publications

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“…The classical asset pricing theory states that the return of an asset is influenced by changes in economic fundamentals in a rational framework (Ryu et al, 2016;Iyke and Ho, 2020). However, some recent behavioral finance research found empirical evidence that the sentiments and trading behavior of market participants in financial markets significantly influences asset returns (Baker et al, 2012;Brown and Cliff, 2004;Greenwood and Shleifer 2014;Kim et al, 2014;Iyke, 2020b). Several previous studies found that trading behaviors, such as abnormal trading behavior and crowded trading, affect variations in cross-sectional stock returns (Kelley and Tetlock, 2013;Yao et al, 2014).…”

Section: Conceptual Framework and Hypotheses Developmentmentioning

confidence: 99%

An Analysis of Herding Behavior in the Stock Market: A Case Study of the Asean-5 and the United States

Rahman

Ermawati

2020

BEMP

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We construct a new dataset to examine herding behavior in the ASEAN-5 (Indonesia, Singapore, Malaysia, the Philippines and Thailand) and the US stock market. Our dataset consists of daily closing prices on the most liquid stock indices in the ASEAN-5 and the US stock market. Based on the Newey–West estimator, we show that the dominant global factor influencing herding behavior is the US federal funds rate, while the cross-market herding of the Singaporean stock market is the dominant regional factor that influence the other ASEAN stock markets. We find that herding behavior, caused by stock market index, spikes only occur in the Philippine stock market.

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Section: Conceptual Framework and Hypotheses Developmentmentioning

confidence: 99%

An Analysis of Herding Behavior in the Stock Market: A Case Study of the Asean-5 and the United States

Rahman

Ermawati

2020

BEMP

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“…Reference [21] found that the limitation of short selling can help to eliminate the wrong pricing of investor sentiment-dominant assets. Reference [22] also proved the impact of short selling constraints on investor sentiment. At present, the research on short selling is being extended to behavioral finance such as investor sentiment.…”

Section: Research Status On Short Sellingmentioning

confidence: 89%

The Signaling Effect of Listed Companies’ Executives’ Shares Reduction —Empirical Evidence from Securities Lending Transactions in Chinese A-Share Market

Wang¹,

Wang²

2018

OJBM

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Stock price was affected by listed company announcements, as well as other non-systemic factors. Directors, supervisors and managers are company insiders. Will their shares reduction announcements send negative signals to the stock market? This article explores the signaling effect of shares reduction through empirical study, and found that for those companies in sales growth, sales reduction announcements from executives had a rather significant role in signaling. This article will extend the range of signaling theory in some degree, and help regulators gain a better understanding of how the investors make their investment decisions in the market.

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“…Previous studies in the field of behavioral finance examine the association between investor sentiments and stock market returns (Baker and Wurgler, 2006;Baker et al, 2012;Kim et al, 2014;Yang et al, 2017b). They find that individuals tend to make trading decisions based on noise rather than information (Black, 1986;Kahneman and Riepe, 1998), which is contrary to the assumption of the rational asset pricing framework and the efficient markets hypothesis (Fama, 1970;Kyle, 1985).…”

Section: Introductionmentioning

confidence: 93%

Effects of Intraday Weather Changes on Asset Returns and Volatilities

Shim¹,

Kim²,

Ryu³

2017

Zb.rad.Ekon.fak.Rij.

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Analyzing the intraday dataset on weather and market information with the use of the extended GJR-GARCH framework, this study explores in depth the weather effects on the asset returns and volatilities of the Korean stock and derivatives markets. Our intraday analyses contribute to the existing literature by going beyond the attempt of prior studies to capture the weather effects using the average daily observations alone. The empirical results document a modest presence of the weather effect on the returns and volatilities, though the significance of its impact is found to vary across different market conditions and indices.We also find that the return and volatility respond asymmetrically to extremely good and bad weather conditions. The intraday analyses show that the weather effect on the returns and volatilities is more statistically significant at the beginning of the working day or the lunch break, indicating the intraday weather effects on the financial market.

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Investor sentiment and return predictability of disagreement

Cited by 92 publications

References 56 publications

An Analysis of Herding Behavior in the Stock Market: A Case Study of the Asean-5 and the United States

An Analysis of Herding Behavior in the Stock Market: A Case Study of the Asean-5 and the United States

The Signaling Effect of Listed Companies’ Executives’ Shares Reduction —Empirical Evidence from Securities Lending Transactions in Chinese A-Share Market

Effects of Intraday Weather Changes on Asset Returns and Volatilities

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