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Investor sentiment and trading behavior [PDF]
Chaos: An Interdisciplinary Journal of Nonlinear Science, 2020 The aim of this paper is to model trading decisions of financial investors based on a sentiment index. For this purpose, we analyze a dynamical model, which includes the sentiment index in the agents’ trading behavior. We consider the setup of a discrete dynamical system, assuming that in financial markets, transactions take place between two groups of
Campisi, G., Muzzioli, S.
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American Economic Journal: Microeconomics, 2010 We consider a general class of games that have been used to model many economic problems where players' sentiments are believed to play an important role. Dropping the common prior assumption, we identify the relevant notion of sentiments for strategic behavior in these games.
Izmalkov, Sergei, Yildiz, Muhamet
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Real Estate Management and Valuation, 2023 While prior studies have examined the predictive effect of macroeconomic and country risk components on property stock index dynamics, limited explanations exist in the literature regarding the time-varying effect of investor sentiment on housing prices.
Muzindutsi Paul-Francois +3 more
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Rational Investor Sentiment [PDF]
, 2002 We explain excess volatility, short-term momentum and long-term reversal of asset prices by a repeated game version of Keynes beauty contest. In every period the players can either place a buy or sell order on the asset market. The actual price movement is determined by average market orders and noise. It is common knowledge that the noise process is
Anke Gerber, Bodo Vogt, Thorsten Hens
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Market Response to Investor Sentiment [PDF]
Journal of Business Finance & Accounting, 2010 AbstractThis paper reconsiders the effect of investor sentiment on stock prices. Our main contribution is that, in addition to the intermediate term return predictability, we also analyze the immediate price reaction to the publication of survey‐based investor sentiment indicators.
Hengelbrock, Jördis +2 more
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Dynamic Spillover Effects of Investor Sentiment and Return between China and the United States
Discrete Dynamics in Nature and Society, 2021 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 ...
Ping Zhang +3 more
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Decomposing the Investor Sentiment
SSRN Electronic Journal, 2018 This paper analyzes the components of the influential Baker and Wurgler (BW) indices of investor sentiment and their contribution to the volatility of U.S. stock portfolios. Using the Klein ? Chow (2013) symmetric method of variance decomposition, we orthogonalize the five proxies of sentiment (dividend premium, first-day return on IPOs, number of IPOs,
Rudolf Klein, Alina Klein
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Cogent Economics & Finance, 2022 This study investigated the impact of investor sentiment impact on sectoral returns and their volatility on the Johannesburg Stock Exchange using a proxy-based composite investor sentiment index and generalised autoregressive conditional ...
Hilary Tinotenda Muguto +7 more
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The Effect of Online Investor Sentiment on Stock Movements: An LSTM Approach
Complexity, 2020 With more and more investors exerting their voices through network forums or social media platforms, the relationships between online investor sentiment and stock movements have drawn more and more attention.
Gaoshan Wang, Guangjin Yu, Xiaohong Shen
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The development of composite sentiment index in Indonesia based on the internet-available data
Cogent Economics & Finance, 2019 The development of internet technology raises new sentiment measures used to predict stock market return. This raises a new problem because we must choose carefully which sentiment measures to be used to predict stock market return because various ...
A. Rizkiana +3 more
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