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Effect of Investor Sentiment on Future Returns in the Nigerian Stock Market 投资者情绪对尼日利亚股市未来收益的影响
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2017-06-30 DOI: 10.26458/1726
Udoka Bernard Alajekwu, Michael C. Obialor, C. Okoro
{"title":"Effect of Investor Sentiment on Future Returns in the Nigerian Stock Market","authors":"Udoka Bernard Alajekwu, Michael C. Obialor, C. Okoro","doi":"10.26458/1726","DOIUrl":"https://doi.org/10.26458/1726","url":null,"abstract":"Nigerian stock market for a period covering the time from the first quarter of 2008 to fourth quarter of 2015. The OLS regression and granger causality techniques were employed for data analyses. The results showed that (1) investor sentiment has a significant positive effect on stock market returns even after control for fundamentals such as Industrial production index, consumer price index and Treasury bill rate; (2) there is a uni-directional causality that runs from change in investor sentiment (ΔCCI) to stock market returns (Rm). Derived finding showed that the inclusion of fundamentals increased the explanatory power of investor sentiment from 3.96% to 33.05%, though at both level, investor sentiment (ΔCCI) has low explanatory power on stock market returns. The study posits existence of a dynamic relationship between investor sentiment and the behaviour of stock future returns in Nigeria such that higher sentiment concurrently leads to higher stock prices.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"5 4","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132968889","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Swarm Intelligence? Stock Opinions of the Crowd and Stock Returns 群体智慧?大众的股票意见和股票收益
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2017-06-21 DOI: 10.2139/ssrn.2787744
Bastian Breitmayer, Filippo Massari, Matthias Pelster
{"title":"Swarm Intelligence? Stock Opinions of the Crowd and Stock Returns","authors":"Bastian Breitmayer, Filippo Massari, Matthias Pelster","doi":"10.2139/ssrn.2787744","DOIUrl":"https://doi.org/10.2139/ssrn.2787744","url":null,"abstract":"We find that crowds’ analyses of stocks, disclosed on a social investment platform, provide explanatory power for stock returns. Exploiting a novel dataset that contains more than 14.9 million individual stock assessments for 10,452 stocks over the period from August 1, 2007, to July 15, 2015, our study shows that social networks may add valuable information for explaining future and abnormal stock returns. We find that a portfolio based on social media opinions yields a monthly excess return of 3.3%. We provide a theoretical rationale for our findings based on the argument that the platform is subject to fewer institutional restrictions and is designed more efficiently for prediction than financial markets.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126581778","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 12
How Does Language Impact Foreign Investing in a Multilingual Country? 在多语言国家，语言如何影响外商投资?
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2017-06-14 DOI: 10.2139/ssrn.3001825
Anthony Bellofatto
{"title":"How Does Language Impact Foreign Investing in a Multilingual Country?","authors":"Anthony Bellofatto","doi":"10.2139/ssrn.3001825","DOIUrl":"https://doi.org/10.2139/ssrn.3001825","url":null,"abstract":"Several papers have already highlighted that retail investors tend to favor stocks listed in countries that share a common language. In this paper, we investigate whether the language difference within the same country matters to understand foreign investing. Using a database coming from a Belgian brokerage house, we confirm the language effect at a national level and furthermore provide evidence that the difference of languages between French- and Dutch-speakers in Belgium induces differences in their foreign investment behavior. Our results show that French(Dutch)-speaking investors tend to overweight more their allocation in French(Dutch) stocks. We also show that the language effect varies across investors' characteristics. The level of education and financial literacy seem to be key drivers: investors who report a higher level of education and a higher level of financial literacy tend to be less subject to the langue effect. Finally, we find that the preference for stocks listed in countries that share the same language does not seem to be information-driven. Excess allocation in French and Dutch stocks does not seem to be due to better information-processing but well due to an exposure to a behavioral bias.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"95 2-4","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120932220","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
The Pricing Effects of Ambiguous Private Information 模糊私有信息的定价效应
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2017-06-06 DOI: 10.2139/ssrn.2154383
S. Condie, Jayant V. Ganguli
{"title":"The Pricing Effects of Ambiguous Private Information","authors":"S. Condie, Jayant V. Ganguli","doi":"10.2139/ssrn.2154383","DOIUrl":"https://doi.org/10.2139/ssrn.2154383","url":null,"abstract":"When private information is observed by ambiguity averse investors, asset prices may be informationally inefficient in rational expectations equilibrium. This inefficiency implies lower asset prices as uninformed investors require a premium to hold assets and higher return volatility relative to informationally efficient benchmarks. Moreover, asset returns are negatively skewed and may be leptokurtic. Inefficiency also leads to amplification in price of small changes in news, relative to informationally efficient benchmarks. Public information affects the nature of unrevealed private information and the informational inefficiency of prices. Asset prices may be lower (higher) with good (bad) public information.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121919127","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 26
Target Volatility: Are There Benefits for Domestic and International Investors? 目标波动率:对国内和国际投资者有利吗?
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2017-05-31 DOI: 10.2139/ssrn.2977841
Claus Huber
{"title":"Target Volatility: Are There Benefits for Domestic and International Investors?","authors":"Claus Huber","doi":"10.2139/ssrn.2977841","DOIUrl":"https://doi.org/10.2139/ssrn.2977841","url":null,"abstract":"This paper compares quarterly rebalanced equity/bond portfolios with 2 different target volatility approaches and a stress allocation model that switches between a normal and a stress allocation during times of high volatility. The analysis comprises the 5 countries Germany, Japan, US, UK and Switzerland and takes the perspectives of purely domestic as well as international investors. Generally, target volatility strategies enhance performance metrics irrespective of investors’ domestic or international orientation. The results developed in this paper can have important implications for, for example, life-cycle products, pension funds and their regulators as well as robo-advisors that utilise target volatility to express investors’ risk attitudes.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"30 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128739083","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Shorting in Speculative Markets 投机市场中的卖空行为
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2017-05-16 DOI: 10.2139/ssrn.2969112
Marcel Nutz, J. Scheinkman
{"title":"Shorting in Speculative Markets","authors":"Marcel Nutz, J. Scheinkman","doi":"10.2139/ssrn.2969112","DOIUrl":"https://doi.org/10.2139/ssrn.2969112","url":null,"abstract":"We propose a continuous-time model of trading among risk-neutral agents with heterogeneous beliefs. Agents face quadratic costs-of-carry on their positions and as a consequence, their marginal valuation of the asset decreases when the magnitude of their position increases, as it would be the case for risk-averse agents. In the equilibrium models of investors with heterogeneous beliefs that followed the original work by Harrison and Kreps, investors are risk-neutral, short-selling is prohibited and agents face a constant marginal cost of carrying positions. The resulting resale option guarantees that the equilibrium price exceeds the price of the asset in a static buy-and-hold model where speculation is ruled out. Our model features three main novelties. First, increasing marginal costs entail that the price depends on the exogenous supply. Second, in addition to the resale option, agents may also value an option to delay, and this may cause the market to equilibrate below the static buy-and-hold price. Third, we introduce the possibility of short-selling; then the resale option for agents with short positions partly compensates the resale option for long agents. We characterize the unique equilibrium of our model through a Hamilton--Jacobi--Bellman equation of a novel form and use it to derive several comparative statics results.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122729080","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 14
Inventory Management by Corporate Bond Dealers 公司债券交易商的库存管理
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2017-05-11 DOI: 10.2139/ssrn.2966919
P. Schultz
{"title":"Inventory Management by Corporate Bond Dealers","authors":"P. Schultz","doi":"10.2139/ssrn.2966919","DOIUrl":"https://doi.org/10.2139/ssrn.2966919","url":null,"abstract":"In over-the-counter markets, dealer willingness to hold inventory is synonymous with liquidity provision. Using actively-traded corporate bonds over 2005-2014, I show that dealers often avoid taking bonds into inventory by prearranging trades. Dealers who take longer to unwind inventory prearrange more trades. Investors receive higher prices selling to dealers who prearrange trades and pay lower prices buying from them. Dealers unwind inventory mostly through interdealer trades. After the Volcker Rule was finalized, dealers were more reluctant to takes bonds into inventory, were more likely to offset trades within a day, and unwound inventory positions more quickly.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"85 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115851418","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 61
CLO Trading and Collateral Manager Bank Affiliation CLO交易和抵押品经理
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2017-05-10 DOI: 10.2139/ssrn.2966249
Stavros Peristiani, João A. C. Santos
{"title":"CLO Trading and Collateral Manager Bank Affiliation","authors":"Stavros Peristiani, João A. C. Santos","doi":"10.2139/ssrn.2966249","DOIUrl":"https://doi.org/10.2139/ssrn.2966249","url":null,"abstract":"This paper investigates whether the type of institutional affiliation of a collateralized loan obligation (CLO) manager influences the manager’s access to information and risk appetite. We base our investigation on CLO managers’ trading of distressed loans. Our findings reveal that CLO managers affiliated with banks start to sell off their positions in loans arranged by their bank well before the onset of default and continue to do so even after default. In contrast, CLO managers affiliated with nonbanks do not lower their credit exposures to distressed loans. These findings are consistent with bank-affiliated CLO managers having access to private information but also being more concerned to mitigate the reputational risk exposure of their banking organization. On close inspection, we find that reputational concerns are a significant factor in the decision to divest defaulted loans. Although the value of private information after default is moot, we find that bank-affiliated CLO managers are significantly more averse to holding their own arranged problem loans than holding distressed loans arranged by unaffiliated banks. Besides helping us understand CLO managers’ trading activities, our findings also highlight a potential limit to banks’ ability to originate loans and distribute them via their affiliated CLOs.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130069372","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 17
Markets with Heterogeneous Beliefs: A Necessary and Sufficient Condition for a Trader to Vanish 异质信念的市场:交易者消失的充分必要条件
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2017-01-30 DOI: 10.2139/ssrn.2908968
Filippo Massari
{"title":"Markets with Heterogeneous Beliefs: A Necessary and Sufficient Condition for a Trader to Vanish","authors":"Filippo Massari","doi":"10.2139/ssrn.2908968","DOIUrl":"https://doi.org/10.2139/ssrn.2908968","url":null,"abstract":"What does it take to survive in the market? Previous literature has proposed sufficient conditions for a trader to vanish, which depend on pairwise comparisons of traders’ discounted beliefs. We propose a novel condition that focuses on the ratio of traders’ discounted beliefs and (approximate) equilibrium prices. Unlike existing conditions, ours is both necessary and sufficient for a trader to vanish and delivers the exact rate at which vanishing traders lose their consumption shares. As an application, we analyze the performance of two intuitive behavioral strategies: the “Follow the Leader Strategy” that prescribes mimicking the beliefs of the most successful trader, and the “Follow the Market Strategy” that prescribes to use beliefs which coincide with the state price density. Further, we show that the relative performance of vanishing traders cannot be studied in isolation. Our analysis highlights an intuitive point obscured by the existing conditions: trading in financial markets is qualitatively different from bilateral trading.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"50 10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126924540","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 18
Losing Money on the Margin 保证金亏损
ERN: Behavioral Finance (Microeconomics) (Topic) Pub Date : 2017-01-16 DOI: 10.2139/ssrn.2912190
D. Ladley, Guanqing Liu, J. Rockey
{"title":"Losing Money on the Margin","authors":"D. Ladley, Guanqing Liu, J. Rockey","doi":"10.2139/ssrn.2912190","DOIUrl":"https://doi.org/10.2139/ssrn.2912190","url":null,"abstract":"Abstract Margin trading is popular with retail investors around the world. To limit the scale of these investors’ potential losses, regulators impose a system of collateral requirements and margin calls. We show in this paper, however, that the collateral requirement imposed by margin calls results in negative expected returns for these traders whilst also inducing positive skew in the returns distribution. Investments in assets with symmetric returns, when traded on margin, instead offer limited losses and a small chance of a large gain, much like lottery stocks and other gambles. We demonstrate this theoretically and then show empirically, using a unique database of account data from a Chinese retail brokerage, that the realized losses of margin traders are often substantial. This leads us to question whether current regulation is appropriate.","PeriodicalId":365642,"journal":{"name":"ERN: Behavioral Finance (Microeconomics) (Topic)","volume":"88 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-01-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116609580","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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