Investor sentiment, SEO market timing, and stock price performance

Chen, Yi-Wen; Chou, Robin K.; Lin, Chu‐Bin

doi:10.1016/j.jempfin.2019.01.008

Cited by 41 publications

(30 citation statements)

References 45 publications

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“…In this paper, investor sentiment is considered to be a vital factor influencing the price of stock options. To explore the internal relationship between them, the most critical method for the researchers is to build an option sentiment index that can reflect the sentiment of investors in the stock option market [ 13 – 16 ]. Therefore, in this paper, we have selected the principal component analysis method to calculate the sentiment composite indexes, which can reflect the sentiment of the stock option market and enable us to explore this market [ 17 – 20 ].…”

Section: Establishment Of Investor Sentiment Index and Selection Of Datamentioning

confidence: 99%

“…In this paper, researchers have referred to the previous practices of establishing indexes by domestic and foreign scholars while selecting sources of the indexes. With an in-depth understanding of the connotation of various variables and examination of the relationship between these variables with the investor sentiment and behavior, we have adopted the principal component analysis to analyze the trading volume, Put/Call, open interest, and change and to construct the option sentiment composite index based on the development status, characteristics, and data availability of China's stock option market [ 13 , 20 – 22 ]. The use of principal component analysis to construct a comprehensive index of investor sentiment can more accurately describe the true sentiment of investors in the trading market, thus making the research results of investor sentiment and the closing trend of the options market more rigorous and scientific.…”

Section: Establishment Of Investor Sentiment Index and Selection Of Datamentioning

confidence: 99%

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Relationship between Investor Sentiment and Price Fluctuation of SSE 50ETF Options

Wang

Zhang

2022

Computational Intelligence and Neuroscience

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In this paper, we have studied the December call-options contract of SSE 50ETF options to put forward the sentiment composite index of options by means of the principal component analysis and to explore the relationship between such index and the fluctuation taking place in option prices. The empirical study has shown that the investor sentiment is correlated with option prices, and option prices prove to be more sensitive to the sentiment, whereas the impact imposed by the sentiment of option investors on option prices is more significant.

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Section: Establishment Of Investor Sentiment Index and Selection Of Datamentioning

confidence: 99%

Section: Establishment Of Investor Sentiment Index and Selection Of Datamentioning

confidence: 99%

Relationship between Investor Sentiment and Price Fluctuation of SSE 50ETF Options

Wang

Zhang

2022

Computational Intelligence and Neuroscience

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“…These findings stress the outside investors might express their "emotion" through the stock market, which change the decisions from other stakeholders. Finally, Chen, Chou and Lin [34] concluded that in the high-sentiment period, managers are more motivated to conduct seasoned equity offerings. These SEO firms were thus experienced less severe short-run price drops around the issuance.…”

Section: Investor Sentimentmentioning

confidence: 99%

Share Centralization, Investor Sentiment and Firm Performance

Cheng¹

2019

IJBER

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The purpose of this paper is to identify how internal corporate governance and external investor sentiment impacts the operating performance of the firm. The corporate governance mechanism affects the firm's operating activities, and transfers its results to outside investors by public financial reports. Since the universal uninformed investors could only identify the firm's net income instead of accrual earnings, this paper reflects the "visible" accounting number to represent investors' received information differently from literatures. Sampling the Taiwanese listed companies from 2007 to 2014, I demonstrate variable definition, build regression models and examine them by full sample analysis and by grouping analysis. The results show three points contributed to professional and business field. The first is that both the higher investor sentiment and the larger shareholding percentage of the board are relevant to reported performance. In addition, because the investor sentiment is encouraged by firm's net income, the managers should devote to better earnings for borrowing equity capital when the firm's debt ratio is high. Finally, only in the situation that the enterprise faces low investor sentiment and little shareholding of the board is the shareholding percentage negative relationship to the operating performance. It infers that instead of informing the firm's prospect to the outside investors, the board might hold on its share right inside of the firm.

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“…Fama and French 1992;Lakonishok et al 1994), seasoned equity offers (e.g. Loughran and Ritter 1995;Spiess and Affleck-Graves 1995;Chen et al 2019), firms with negative ZSCORE (e.g. Agarwal and Taffler 2008), and firms with lower profitability (e.g.…”

Section: Is There Another 'Market Anomaly' In Disguise?mentioning

confidence: 99%

The context of earnings management and its ability to predict future stock returns

Nguyen

Iqbal

Shiwakoti

2022

Rev Quant Finan Acc

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This paper constructs a signal-based composite index, namely ESCORE, which captures the context of earnings management. Specifically, ESCORE aggregates 15 individual signals related to both accrual and real earnings management based on prior relevant literature. After establishing that ESCORE is capable of capturing the context in which earnings management is more likely to occur, the study finds that low ESCORE firms outperform those with high ESCORE by an average of 1.37% per month after controlling for risk loadings on the market, size, book-to-market and momentum factors up to one year after portfolio formation in the UK. This finding implies that investors tend to ignore the observable context of earnings management. In addition, with ESCORE model, investors do not need to estimate the magnitude of earnings management, rather it is sufficient to look at the surrounding context to differentiate between low and high earnings management firms. Finally, when tested using the US data, most of the main results of the study appear to hold.

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Investor sentiment, SEO market timing, and stock price performance

Cited by 41 publications

References 45 publications

Relationship between Investor Sentiment and Price Fluctuation of SSE 50ETF Options

Relationship between Investor Sentiment and Price Fluctuation of SSE 50ETF Options

Share Centralization, Investor Sentiment and Firm Performance

The context of earnings management and its ability to predict future stock returns

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