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.

scholarly journals Measuring Stock Market Investor Sentiment

2012 ◽  
Vol 29 (1) ◽  
pp. 51 ◽  
Author(s):  
Francisca Beer ◽  
Mohamed Zouaoui
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Behavioral Finance ◽  
Hybrid Approach ◽  
Composite Index ◽  
Investor Sentiment ◽  
Predictive Ability ◽  
Relative Performance ◽  
Relative Efficacy ◽  
Noise Traders

Recently, investor sentiment measures have become one of the more widely examined areas in behavioral finance. A number of measures have been developed in the literature without having been fully validated, and therefore leaving in question which measure should be used for empirical exploration. The purpose of this study is to examine the relative performance of a number of popular measures in predicting stock returns and to test the relative efficacy of a hybrid approach. Using a panel of investor sentiment measures, we develop a new measure of sentiment which combines direct and indirect sentiment measures. Our results show that our composite sentiment index affects the returns of stocks hard to value and difficult to arbitrage consistent with the predictions of noise traders models. Finally, we find that our composite index has a better predictive ability than the alternative sentiment measures largely used in the literature.

scholarly journals The Calendar Impact And Trading Behavior: An Empirical Evidence From Around The Globe

2014 ◽  
Vol 13 (5) ◽  
pp. 1025 ◽  
Author(s):  
Faleh Alrashidi ◽  
Manzoor Ahmed ◽  
Fahad Beneid
Keyword(s):  
Stock Returns ◽  
Fund Performance ◽  
Supporting Evidence ◽  
Trading Behavior ◽  
Economic Activities ◽  
Equity Fund ◽  
Monthly Data ◽  
Stock Return Volatility ◽  
Dummy Variable ◽  
Equity Funds

This paper is aimed to determine a change in the stock markets returns or its volatility from the globally selected Islamic mutual funds during the month of Ramadan, as all Muslims around the world eagerly and enthusiastically follow the rituals of the holy month of Ramadan. The paper uses monthly data of equity funds for those which are domiciled and those which operate globally within the period of January 2004 until December 2009. It is interesting to note that the empirical results provide no supporting evidence for the effect of the Ramadan month on the Islamic equity fund performance when examined using a dummy variable for the Ramadan month. Nevertheless, the evidence reveals that the volatility of stock returns remarkably decreases during this month. The reason for the decrease in volatility may be the result of the speed of economic activities during that month. Although, there is a decline in stock return volatility in the month of Ramadan, the return indicates no significant change.

scholarly journals Analisis Sentimen Perubahan Harga Emas Dunia, Nilai Tukar Rupiah dan Indeks Harga Saham Gabungan terhadap Keputusan Membeli Produk Reksadana Saham

2018 ◽  
Vol 4 (2) ◽  
pp. 1-17
Author(s):  
Frangky Christoffel Parengkuan
Keyword(s):  
Exchange Rate ◽  
Path Analysis ◽  
Statistical Methods ◽  
Investor Sentiment ◽  
Gold Price ◽  
Equity Fund ◽  
The World ◽  
Equity Funds ◽  
Analytical Tools

The objective of this study are (1) to describe the exchange of world gold price, USD/IDR exchage rate, the movement in Indonesian Stocks Exchange Indexs (IHSG) and investor’s sentiment to buy Equity Fund (2) to verify the corelation against the world gold price, USD/IDR exchange rate and movement of Indonesian Stocks Exchange Indexs (3) to calculate how they will make effect to decision of buying Equity Fund. The Equity Funds come from all funds that sold by Bank Danamon Region 8 Jawa Barat with minimum existing for more than 10 years performance. Analytical tools that used in this study is path analysis with two statistical methods. The result showed that even in LISREL and SPSS the correlation between world gold prices and USD/IDR Exchange Rate is too low, but correlation between world gold prices and IHSG is strong enough. The strongest coorelation is on USD/IDR exchange rate and IHSG. When it is tested in path analysis, the result shows that all independent variabel have significant effect to investor sentiment of buying Equity Fund.

scholarly journals Dynamic Spillover Effects of Investor Sentiment and Return between China and the United States

2021 ◽  
Vol 2021 ◽  
pp. 1-19
Author(s):  
Ping Zhang ◽  
Lin Zhang ◽  
Zhenghui Meng ◽  
Tewei Wang
Keyword(s):  
United States ◽  
Stock Returns ◽  
Stock Prices ◽  
Investor Sentiment ◽  
Spillover Effects ◽  
Listed Companies ◽  
The United States ◽  
Relative Price ◽  
Market Linkage ◽  
The Difference

As the two largest economies in the world, the investor sentiment and stock return of China and the United States are the focus of global attention. In this paper, we study the dynamic spillover effects of investor sentiment and return between China and the United States. First, we use the relative price differences of 9 dual-listed companies in China and the United States simultaneously to verify whether investor sentiment affects stock returns. We find a significant positive correlation between the relative price difference of dual-listed companies and the difference of investor sentiment, indicating that the investor sentiment index indeed affects stock prices. Next, we construct the TVP-VAR model to study the dynamic spillover effects of investor sentiment and the return between China and the United States. Through the time-varying impulse response, we find investor sentiment has a significant dynamic impact on returns. Therefore, investment sentiment contagion and stock market linkage between China and the United States are obvious. In addition, we conduct various robust tests, and all results are consistent.

The Impact of Oil Price Fluctuations on Industry Stock Returns: Evidence from International Markets

2018 ◽  
Vol 5 (1) ◽  
pp. 1-12
Author(s):  
Elias Randjbaran ◽  
Reza Tahmoorespour ◽  
Marjan Rezvani ◽  
Meysam Safari
Keyword(s):  
Stock Returns ◽  
Oil And Gas ◽  
Negative Relationship ◽  
The United States ◽  
Oil Price ◽  
Price Variation ◽  
Price Changes ◽  
Price Fluctuations ◽  
Food And Beverage ◽  
The Impact

This study investigates the impact of oil price variation on 14 industries in six markets, including Canada, China, France, India, the United Kingdom, and the United States. Panel weekly data were collected from June 1998 to December 2011. The results indicate that price fluctuations primarily affect the Oil and Gas as well as the Mining industries and have the least influence on the Food and Beverage industry. Furthermore, in three out of six of these countries (Canada, France, and the U.K.), oil price changes negatively affect the Pharmaceutical and Biotechnology industry. One possible reason for the negative relationship between oil price changes and the Pharmaceutical and Biotechnology industries in the above-mentioned countries is that the governments of these countries fund their healthcare systems. Portfolio managers and investors will find the results of this study useful because it enables adjusting portfolios based on knowledge of the industries that are impacted the most or the least by oil price fluctuations.

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