scholarly journals The Local Impact on the Concurrent Sentiment-Return Nexus: Asian versus European Markets

2021 ◽  
Vol 5 (6) ◽  
pp. 894-905
Author(s):  
Ngoc Bao Vuong ◽  
Yoshihisa Suzuki ◽  
Anh Tho To
Keyword(s):  
Stock Returns ◽  
Fixed Effects ◽  
Investor Sentiment ◽  
Cultural Dimensions ◽  
Cultural Aspects ◽  
Panel Regressions ◽  
The Individual ◽  
Almost All ◽  
The Impact ◽  
European Markets

We examine the relationship between investor sentiment and contemporaneous returns in sixteen Asian and European stock markets between 2004 and 2016. To identify the sentiment-return nexus, we use the OLS models with Newey-West standard errors as well as the panel regressions with cross-country fixed effects and time dummies. We report the regional outcomes for Asia, Europe, and the individual markets. Our empirical results reveal a significant effect of sentiment on stock returns, although those effects are nonidentical across markets. We find the dissimilarities in the sentiment-return relationship among the sample markets are driven negatively by almost all national factors, with the strongest determinants being the development of financial institutions and the quality of regulation. The impact of cultural dimensions among the sample markets, on the contrary, is relatively weak and mixed. Our research is the first to compare Asian and European outcomes and reveal which region is more vulnerable to the influence of the local components. We detect that, except cultural aspects, European markets are more sensitive to country-specific characteristics than Asian ones. Doi: 10.28991/esj-2021-01318 Full Text: PDF

scholarly journals Pricing ESG Equity Ratings and Underlying Data in Listed Real Estate Securities

2021 ◽  
Vol 13 (4) ◽  
pp. 2037 ◽  
Author(s):  
Dirk Brounen ◽  
Gianluca Marcato ◽  
Hans Op ’t Veld
Keyword(s):  
Real Estate ◽  
Best Practices ◽  
Stock Returns ◽  
The Real Estate ◽  
Public Property ◽  
European Public ◽  
Property Companies ◽  
Real Estate Securities ◽  
The Impact ◽  
European Markets

By analyzing the adoption of the European Public Real Estate Association’s (EPRA) Sustainability Best Practices Recommendations (sBPR), we examine and discuss the application of transparent environmental, social and governance (ESG) ratings and their interaction with public real estate performance across European markets. Due to increasing concerns about the environment and the impact of investment on society at large, public property companies have made significant progress in improving transparency and enhancing the protection of shareholder value by sharing and reporting ESG best practices. We explore and review the EPRA sBPR database, which is highly useful for investors who are already screening listed real estate companies. Hence, in this project, we carefully study the diffusion process of this new ESG metric as a tool to enhance informational transparency regarding public real estate investment management and assess the effects of this transparency and ESG performance for the real estate stock returns. We find evidence of a sustainability premium that investors are willing to pay to access companies with better sustainable ratings.

Does the second wave of COVID-19 undermine corporate immunity? International evidence

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Huy Viet Hoang ◽  
Cuong Nguyen ◽  
Khanh Hoang
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Fixed Effects ◽  
Management Strategies ◽  
The United States ◽  
Least Square ◽  
Content Type ◽  
The Impact ◽  
Second Wave ◽  
Practical Implications

PurposeThis study compares the impact of the COVID-19 pandemic on stock returns in the first two waves of infection across selected markets, given built-in corporate immunity before the global outbreak.Design/methodology/approachThe data are collected from listed firms in five markets that have experienced the second wave of COVID-19 contagion, namely the United States (US), Australia, China, Hong Kong and South Korea. The period of investigation in this study ranges from January 24 to August 28, 2020 to cover the first two COVID-19 waves in selected markets. The study estimates the research model by employing the ordinary least square method with fixed effects to control for the heterogeneity that may confound the empirical outcomes.FindingsThe analysis reveals that firms with larger size and more cash reserves before the COVID-19 outbreak have better stock performance under the first wave; however, these advantages impede stock resilience during the second wave. Corporate governance practices significantly influence stock returns only in the first wave as their effects fade when the second wave emerges. The results also suggest that in economies with greater power distance, although stock price depreciation was milder in the first wave, it is more intense when new cases again surge after the first wave was contained.Practical implicationsThis paper provides practical implications for corporate managers, policymakers and governments concerning crisis management strategies for COVID-19 and future pandemics.Originality/valueThis study is the first to evaluate built-in corporate immunity before the COVID-19 shock under successive contagious waves. Besides, this study accentuates the importance of cultural understanding in weathering the ongoing pandemic across different markets.

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.

National Culture and E-Government Readiness

2010 ◽  
pp. 87-104 ◽  
Author(s):  
Zlatko J. Kovacic
Keyword(s):  
Information And Communication Technologies ◽  
National Culture ◽  
New Technologies ◽  
Communication Technologies ◽  
Cultural Dimensions ◽  
Readiness Assessment ◽  
Diffusion Of Information ◽  
Information And Communication ◽  
The Individual ◽  
The Impact

Diffusion of information and communication technologies is a global phenomenon. In spite of rapid globalization there are considerable differences between nations in terms of the adoption and usage of new technologies. Several studies exploring causal factors including national cultures of information and communication technology adoption have been carried out. The focus of this chapter is slightly different from other studies in this area. Rather than concentrating on the individual information technology an overall e-Government readiness is the focus. This research conducted an analysis of the impact national culture has on e-Government readiness and its components for 62 countries. E-Government readiness assessment used in this study is based on the UN E-Government Survey 2008, while the national cultural dimensions were identified using Hofstede’s model of cultural differences. The research model and hypotheses were formed and tested using correlation and regression analysis. The findings indicate that worldwide e-Government readiness and its components are related to culture. The result has theoretical and practical implications.

The Impact of COVID-19 on Stock Markets

2022 ◽  
pp. 250-262
Author(s):  
Aslı Aybars ◽  
Mehtap Öner
Keyword(s):  
Literature Review ◽  
Financial Markets ◽  
Stock Returns ◽  
Empirical Studies ◽  
The Novel ◽  
The World ◽  
Fast Pace ◽  
Novel Coronavirus ◽  
Almost All ◽  
The Impact

The novel coronavirus, COVID-19, which emerged at the end of 2019 and spread to the world at a very fast pace, resulted in a pandemic affecting the finance industry besides many other industries though at varying extents. Financial markets, which can be regarded as cornerstones of each and every country's economic success, have been adversely influenced due to the fear and uncertainty arising with the emergence of the novel coronavirus at different degrees. This chapter provides a summary of a literature review based on the impact of this pandemic on stock returns and volatility in the stock exchanges of different countries and regions of the world. What has been captured as a result of this literature review is that almost all of the financial markets around the world have been influenced due to the virus. Further, industry-wise empirical studies demonstrate that not all industries are affected at the same level or even in the same direction.

scholarly journals The Linkage between Sentiments and Stock Market Dynamics New Evidence from Iran

2020 ◽  
Vol 9 (2) ◽  
pp. 29
Author(s):  
Heshmatollah Asgari ◽  
Hamed Najafi
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Screening Method ◽  
Market Price ◽  
Investor Sentiment ◽  
Financial Assets ◽  
Causality Test ◽  
Research Criteria ◽  
The Impact ◽  
The Relationship

In recent years, the issue of financial behaviour and the impact of investors’ sentiments on their decision making have become such a popular issue. The sentiments of financial activists affect the market price of financial assets and particularly stocks, and therefore it is included in the new pricing models of capital assets. In this article, we seek the effect of investors’ sentiments on the dynamics of the Iranian stock market (TSE). To do this, among the companies accepted in the stock market we select 120, considering the research criteria and screening method, we examined TSE specifics throughout 2010-2018 using regression analysis and causality test. Our results show that firstly investors’ sentiments have a direct effect on the stock returns and there is a bilateral relationship between them. Secondly, inflation has the opposite effect and economic growth has a direct and positive effect on the relationship between investor sentiment and stock returns. Finally, government spending has no significant effect on the relationship between investor sentiment and stock returns.

Investors’ sentiment and accruals anomaly: European evidence

2018 ◽  
Vol 19 (4) ◽  
pp. 500-517 ◽  
Author(s):  
Francisca Beer ◽  
Badreddine Hamdi ◽  
Mohamed Zouaoui
Keyword(s):  
Stock Returns ◽  
Cultural Values ◽  
Investor Sentiment ◽  
European Countries ◽  
Legal Tradition ◽  
Content Type ◽  
Legal Enforcement ◽  
Accruals Anomaly ◽  
High Level ◽  
The Impact

Purpose The purpose of this paper is to examine whether investors’ sentiment affects accruals anomaly across European countries. Design/methodology/approach The authors estimate the model using Fama–MacBeth regressions. The sample includes 54,572 firm-year observations for 4,787 European firms during the period 1994–2014. Findings The authors find that investors’ sentiment influences accruals mispricing across European countries. The effect is pronounced for stocks whose valuations are highly subjective and difficult to arbitrage. The cross-country analysis provides evidence that sentiment influences accruals anomaly in countries with weaker outside shareholder rights, lower legal enforcement, lower equity market development, higher allowance of accrual accounting and in countries where herd-like behavior and overreaction behavior are strong. Research limitations/implications The findings suggest the generalizability of the sentiment-accruals anomaly relation in European countries characterized by different cultural values, levels of economic development and legal tradition. Practical implications The findings suggest to caution individuals investors. These investors would be wise to take into account the impact of sentiment on the performance of their portfolio. They must keep in mind that periods of high optimism are accompanied by a high level of accruals and followed by low future stock returns. Originality/value The research supplements previous American studies by showing the significance of the level of sentiment in understanding the accruals anomaly in Europe. Hence, it is important for future studies to consider investor sentiment as an important time-series determinant of the accruals anomaly, particularly for stocks that are hard to value and difficult to arbitrage.

scholarly journals Effect of F Score on Stock Performance: Evidence from Indian Equity Market

2017 ◽  
Vol 9 (2) ◽  
pp. 89
Author(s):  
Trilochan Tripathy ◽  
Bijon Pani
Keyword(s):  
Stock Returns ◽  
Mutual Fund ◽  
Indian Market ◽  
Stock Valuation ◽  
Stock Performance ◽  
Return On Equity ◽  
Value Investing ◽  
Fund Managers ◽  
The Individual ◽  
The Impact

This study seeks to examine whether value investing strategy based on F Score when applied to high book to market firms can significantly shift the current and future stock performance in favour of the investor in the Indian market. The study engages the panel data model to analyse the impact of high F Score on contemporaneous and future stock returns (Rt and Rt+1), return on equity (ROEt and ROEt+1) and market to book value (MTBVt and MTBVt+1) as stock performance measures. The study concludes that high book to market firms with high F Score can shift the distribution of contemporaneous and future stock performances in favour of investors in the Indian market. However such observation is most prominent and statistically significant at higher level when applied to future stock valuation measures than the future stock return as measures of stock performance. The outcome of the study would no doubt help the individual value investors, mutual fund managers and value investing strategists who have presence in the Indian market.

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