Does mixed-frequency investor sentiment impact stock returns? Based on the empirical study of MIDAS regression model

2014 ◽  
Vol 46 (9) ◽  
pp. 966-972 ◽  
Author(s):  
Chunpeng Yang ◽  
Rengui Zhang
Keyword(s):  
Empirical Study ◽  
Regression Model ◽  
Stock Returns ◽  
Investor Sentiment ◽  
Mixed Frequency

Retail Trader’s Noise risk and closed-end fund pricing puzzle Investor Sentiment Model for Closed-end Equity Funds Pricing Puzzle an Empirical Study

2017 ◽  
Vol 1 (1) ◽  
pp. 59
Author(s):  
Raja Shahzad
Keyword(s):  
Empirical Study ◽  
Stock Returns ◽  
Investor Sentiment ◽  
The United States ◽  
Equity Returns ◽  
Equity Fund ◽  
Noise Traders ◽  
Demand And Supply ◽  
Noise Trading ◽  
Equity Funds

This empirical study investigates the rationale for the United States (US) closed-end equity fund discounts using investor sentiment approach of C. Lee, Shleifer, and Thaler (1991) for the period from 2004 to 2013. The result of this study suggests that discounts on closed-end equity funds decrease when small stocks return increase. The closed-end fund discounts have the significant stronger correlation with small capitalization as compared to large company’s stock returns. The results indicate that similar noise trading risk generated by retail traders explains the fluctuations in closed-end fund discounts and small capitalization equity returns even after controlling for fundamental factors. The results validated the existence of noise traders in market producing stochastic demand and supply based on their belief, subsequently affecting closed-end equity fund price in the market.

An Empirical Study on the Influence of Investor Sentiment and Stock Price——Based on VAR Model

2021 ◽  
Author(s):  
Yang Lu ◽  
Ning Ding ◽  
Mengcheng Shi ◽  
Zhenyu Fan ◽  
Yiming Zhai
Keyword(s):  
Empirical Study ◽  
Stock Price ◽  
Investor Sentiment ◽  
Var Model

scholarly journals Dose Underwriter Credit and its Guiding Function Have Impact on IPO Break in China?

2017 ◽  
Vol 9 (5) ◽  
pp. 36
Author(s):  
Chang Xu
Keyword(s):  
Logistic Regression ◽  
Regression Model ◽  
Logistic Regression Model ◽  
Opposite Effect ◽  
Negative Relationship ◽  
Investor Sentiment ◽  
Listed Companies ◽  
Pricing Behavior ◽  
Guiding Function ◽  
A Share

Underwriters’ pricing behavior is partially unreasonable in China, and the overreaction of investors can easily lead to IPO break. The paper explores datum of listed companies between 2009 and 2016 in A share market and establishes Logistic Regression Model, aimed to pro how Underwriter Credit and Investor Sentiment affecting IPO break. Conclusions are as follows: overpricing of new shares will make IPO break easier; Underwriters Credit have opposite effect on IPO break; Investor Sentiment has negative relationship with IPO break significantly; underwriters can guide Investor Sentiment by credit weekly, in order to lower the probability of IPO break.

scholarly journals The Impact of Public Debt on the Economic Growth of Jordan: An Empirical Study (2000- 2015)

2017 ◽  
Vol 6 (2) ◽  
pp. 114 ◽  
Author(s):  
Tawfiq Ahmad Mousa ◽  
Abudallah. M. LShawareh
Keyword(s):  
Economic Growth ◽  
Empirical Study ◽  
Regression Model ◽  
Least Squares ◽  
Public Debt ◽  
Least Squares Method ◽  
Negative Impact ◽  
External Debt ◽  
Using Data ◽  
The Impact

In the last two decades, Jordan’s economy has been relied on public debt in order to enhance the economic growth. As such, an understanding  of the dynamics between public debt and economic growth is very important in addressing the obstacles to economic growth. The study investigates the impact of public debt on economic growth using data from 2000 to 2015. The study employs least squares method and regression model to capture the impact of public debt on economic growth. The results of the analysis indicate that there is a negative impact of total public debt, especially the external debt on economic growth. 

scholarly journals The Impact of Investor Sentiment on Return of Different Industries in Pakistan

2017 ◽  
pp. 1-23
Author(s):  
Sumayya Chughtai Et al.,
Keyword(s):  
Stock Returns ◽  
Principle Component Analysis ◽  
Negative Relationship ◽  
Investor Sentiment ◽  
Differential Impact ◽  
Future Period ◽  
Market Sentiment ◽  
Available Information ◽  
The Impact ◽  
The Relationship

We classify stocks in different industries to measure industrial sentiment based on principle component analysis in order to examine whether investor sentiment exerts a differential impact on stock returns across different industries. After having constructed industry-level sentiment indices we construct a composite investor sentiment index. Our results suggest that investor sentiment negatively affects current as well as future stock returns in Pakistan over the examined period. However, we find that the influence of investor sentiment varies substantially across different industries. We also find that the market sentiment index has a negative relationship with both current and future stock returns. We also show that the direction of the relationship between return and sentiment remains same for the current and future period. This indicates that investors overreact to the available information and mispricing exists for a prolonged time. Our results confirm that sentiment driven mispricing persists for upcoming time and stock markets are not fully efficient to adjust instantaneously.

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