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Can machine learning make technical analysis work? 机器学习能让技术分析发挥作用吗？
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2024-06-13 DOI: 10.1007/s11408-024-00451-8
Andrea Rigamonti
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引用次数: 0
Politically connected outside directors and market reaction: evidence from Korea 与政治有关联的外部董事和市场反应：韩国的证据
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2024-06-07 DOI: 10.1007/s11408-024-00450-9
Kyeongmin Jeon, Jeung-Yoon Chang, Young-Soo Choi
{"title":"Politically connected outside directors and market reaction: evidence from Korea","authors":"Kyeongmin Jeon, Jeung-Yoon Chang, Young-Soo Choi","doi":"10.1007/s11408-024-00450-9","DOIUrl":"https://doi.org/10.1007/s11408-024-00450-9","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141371951","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
Herding the crowds: how sentiment affects crowdsourced earnings estimates 从众：情绪如何影响众包盈利预测
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2024-04-16 DOI: 10.1007/s11408-024-00447-4
John Garcia
{"title":"Herding the crowds: how sentiment affects crowdsourced earnings estimates","authors":"John Garcia","doi":"10.1007/s11408-024-00447-4","DOIUrl":"https://doi.org/10.1007/s11408-024-00447-4","url":null,"abstract":"<p>This study investigates the impact of firm-level investor sentiment derived from Twitter and news media on herding behavior among contributors on Estimize, a leading platform for crowdsourced earnings forecasts. The findings show that sentiment gleaned from tweets and news media content positively influences herding among Estimize contributors. Notably, herding intensifies when Twitter and news sentiment polarities align, while divergent sentiment polarities diminish this herding effect. Additionally, the analysis indicates that firms with investment-grade ratings and those characterized by low valuation uncertainty are particularly prone to sentiment-driven herding. Importantly, positive sentiment is identified as having a more potent influence on herding behavior than negative sentiment. By focusing on Estimize contributors, this study offers insights into how firm-level sentiment cues shape the crowd’s herding behavior, offering new perspectives on how different media sources shape the wisdom of the crowd.</p>","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140579278","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
Report of the editor 2023 编辑报告 2023
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2024-02-27 DOI: 10.1007/s11408-024-00448-3
{"title":"Report of the editor 2023","authors":"","doi":"10.1007/s11408-024-00448-3","DOIUrl":"https://doi.org/10.1007/s11408-024-00448-3","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-02-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140427877","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
A simple test of misspecification for linear asset pricing models 线性资产定价模型的简单错误检验
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2024-02-22 DOI: 10.1007/s11408-024-00445-6
Antoine Giannetti
{"title":"A simple test of misspecification for linear asset pricing models","authors":"Antoine Giannetti","doi":"10.1007/s11408-024-00445-6","DOIUrl":"https://doi.org/10.1007/s11408-024-00445-6","url":null,"abstract":"<p>A fundamental implication of asset pricing theory is that investors must earn risk-premiums for bearing exposure to systematic risk. The two-pass cross-sectional regression is a popular approach for risk-premium estimation. The empirical literature has found that this approach often delivers estimates that significantly differ from their time-series counterparts. The paper explores a test of model misspecification that exploits the difference between cross-sectional and time-series risk-premium estimates. The suggested approach complements traditional misspecification tests and may be applied as an alternative to the deployment of misspecification-robust standard errors to test risk-premium significance.</p>","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139947042","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
Ben Mezrich, Dumb Money (Harper Collins Publishers, 2023) 本-梅兹里奇，《蠢钱》（哈珀-柯林斯出版社，2023 年）
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2024-02-22 DOI: 10.1007/s11408-024-00446-5
Joshua Traut
{"title":"Ben Mezrich, Dumb Money (Harper Collins Publishers, 2023)","authors":"Joshua Traut","doi":"10.1007/s11408-024-00446-5","DOIUrl":"https://doi.org/10.1007/s11408-024-00446-5","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140441695","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
Measuring costly behavioral bias factors in portfolio management: a review 衡量投资组合管理中代价高昂的行为偏差因素：综述
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2024-02-19 DOI: 10.1007/s11408-024-00444-7
David Gorzon, Marc Bormann, Ruediger von Nitzsch
{"title":"Measuring costly behavioral bias factors in portfolio management: a review","authors":"David Gorzon, Marc Bormann, Ruediger von Nitzsch","doi":"10.1007/s11408-024-00444-7","DOIUrl":"https://doi.org/10.1007/s11408-024-00444-7","url":null,"abstract":"<p>Various factor models extended by Jensen’s (J Financ 23:389–416, 1968) alpha have been used to measure the retail investors’ portfolio (under-) performance compared to the market portfolio. The previous studies tried to explain this anomaly in behavioral finance by examining retail investors’ cognitive biases that induce irrational trading behavior. While operationalizing these cognitive biases in trading is not trivial, researchers still have found measures to proxy for biases and prove their statistical and economic significance. However, these studies only focused on linking one or a subset of behavioral biases and their effect on portfolio performance. In addition, different measures of biases across studies complicate the comparability of results. Therefore, this paper provides a structured overview of the current state of the literature regarding behavioral biases and their measurements to design a behavioral factor model that should help to explain the performance alpha from a behavioral finance perspective. The paper presents an overview of 11 behavioral bias factors and 29 corresponding measurements to consider inputting in such a model. With an application-oriented focus, it is recommended to include the most researched bias factors in a factor model, which are also the most detrimental to portfolio performance, as well as to include the most frequently used and least complex measures, which results in the primary inclusion of the following eight behavioral bias factors: disposition effect, under-diversification, home bias, local bias, lottery stock preference, trend chasing, overtrading, and trade clustering.</p>","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-02-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139910465","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
Foreign versus domestic institutional ownership and stock price synchronicity in Taiwan 台湾的外资与内资机构所有权及股价同步性
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2024-02-16 DOI: 10.1007/s11408-023-00441-2
Pi-Yun Yang, Dun-Yao Ke, Kai-Chien Chen, Thi Bao Ngoc Nguyen
{"title":"Foreign versus domestic institutional ownership and stock price synchronicity in Taiwan","authors":"Pi-Yun Yang, Dun-Yao Ke, Kai-Chien Chen, Thi Bao Ngoc Nguyen","doi":"10.1007/s11408-023-00441-2","DOIUrl":"https://doi.org/10.1007/s11408-023-00441-2","url":null,"abstract":"","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-02-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139962325","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
The Credit Suisse bailout in hindsight: not a bitter pill to swallow, but a case to follow 事后看瑞士信贷的救助：不是一剂苦药，而是一个值得关注的案例
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2024-02-15 DOI: 10.1007/s11408-023-00443-0
Pascal Böni, Heinz Zimmermann
{"title":"The Credit Suisse bailout in hindsight: not a bitter pill to swallow, but a case to follow","authors":"Pascal Böni, Heinz Zimmermann","doi":"10.1007/s11408-023-00443-0","DOIUrl":"https://doi.org/10.1007/s11408-023-00443-0","url":null,"abstract":"<p>In March 2023, Credit Suisse (CS) was bailed out based on the implementation of emergency law to the exclusion of all shareholder rights of the involved banks, likely violating basic principles of monetary order. However, this paved the way for a support plan amounting to 209 billion Swiss francs and the implementation of a state-orchestrated emergency merger with UBS. By the end of August 2023, UBS had fully paid back the support plan and reported the biggest-ever quarterly profit for a bank, amounting to 29 billion US dollars. UBS also started to absorb CS’s domestic business, thereby abandoning the branding of an institution with a history of 167 years. Popular accounts claim the plan could be considered a success and that there was no cost because the money was repaid. We critically evaluate the CS bailout, shedding light on key issues such as bailout-induced wealth transfers, the “too-big-to-fail” challenge, the likelihood of bank bailouts, the optimal level of bank equity, the doctrinal separation of solvency and liquidity, and the benefits of ex-ante market-based bank fragility indicstors rather than <i>ex-post</i> accounting indicators. We infer a financial economist’s perspective, in which supervision is expanded by <i>ex-ante</i> market-based risk indicators, unweighted capital ratios are increased to adequately reflect large bank risks, and <i>ex-ante</i> paid liquidity options are introduced. Finally, we call for a public debate on the willingness of taxpayers to implicitly finance the too-big-to-fail risk of large banks.</p>","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-02-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139768198","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
Short selling and firm investment efficiency 卖空与公司投资效率
IF 1.9
Financial Markets and Portfolio Management Pub Date : 2024-02-07 DOI: 10.1007/s11408-023-00442-1
{"title":"Short selling and firm investment efficiency","authors":"","doi":"10.1007/s11408-023-00442-1","DOIUrl":"https://doi.org/10.1007/s11408-023-00442-1","url":null,"abstract":"<h3>Abstract</h3> <p>This paper investigates the informativeness of short sales on detecting firm investment inefficiency. Neoclassical and agency theory suggest that investment inefficiency destroys firm value by allocating resources to less-valued uses. This paper finds that short-sellers adjust their short positions before the announcement of a financial statement, to use their information advantage on firm investment inefficiency. The relation between the short positions in a firm and its future investment inefficiency is both statistically and economically significant, and robust to a broad set of control variables. Subsample analyses show that the informativeness of short sales positions about future investment inefficiency is concentrated on overinvestment firms, firms with little board independence, and firms with low CEO incentive pay.</p>","PeriodicalId":44895,"journal":{"name":"Financial Markets and Portfolio Management","volume":null,"pages":null},"PeriodicalIF":1.9,"publicationDate":"2024-02-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139902860","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
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