Two Essays on Investor Sentiment and the Profitability of Contrarian and Momentum Strategies
Author: Changmei Zhang
Publisher:
Published: 2010
Total Pages: 186
ISBN-13:
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Author: Changmei Zhang
Publisher:
Published: 2010
Total Pages: 186
ISBN-13:
DOWNLOAD EBOOKAuthor: Monica Widyassari
Publisher:
Published: 2019
Total Pages: 0
ISBN-13:
DOWNLOAD EBOOKAuthor: Florian Weißofner
Publisher:
Published: 2020*
Total Pages: 0
ISBN-13:
DOWNLOAD EBOOKAuthor: David Dreman
Publisher: Simon and Schuster
Published: 2012-01-10
Total Pages: 498
ISBN-13: 0743297962
DOWNLOAD EBOOKIntroduces important new findings in psychology to demonstrate why most investment strategies are flawed, outlining atypical strategies designed to prevent over- and under-valuations while crash-proofing a portfolio.
Author: Paweł Maryniak
Publisher:
Published: 2016
Total Pages: 51
ISBN-13:
DOWNLOAD EBOOKPaper analyzes the relationship between the profitability of currency momentum strategy and its potential sources - investor sentiment and investor attention. Evidence supporting the existence of relationship between investor sentiment and currency momentum is presented. It seems that this relationship is different than for equity momentum. Investor sentiment seems to affect in the opposite way long and short leg of currency momentum strategy. It seems that adjusting currency momentum for this relationship can magnify its profitability. Investor attention also seems to have an impact on the profitability of currency momentum which seems to be the most profitable for low attention currencies.
Author: Nathan E. Davis
Publisher: McGraw-Hill Companies
Published: 2004
Total Pages: 177
ISBN-13: 9780071432405
DOWNLOAD EBOOK"The Triumph of Contrarian Investing provides you with analysis and indicators proven to spotlight those points at which investor optimism or pessimism is at its strongest, then show you how to go against the grain - and profit - in virtually every instance."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved
Author: James Gerard Bulsiewicz
Publisher:
Published: 2016
Total Pages: 307
ISBN-13:
DOWNLOAD EBOOKAuthor: Major Coleman
Publisher:
Published: 2013
Total Pages: 102
ISBN-13: 9781267971432
DOWNLOAD EBOOKChapter 1. If investors choose consumption and investment levels jointly to maximize expected utility or value, then investor sentiment about stock returns should be reflected in consumption choices. I find a positive contemporaneous relationship between aggregate consumption of nondurables and investor stock sentiment. Investors' false perceptions of changes in stock market wealth appear to move consumption in the same direction initially. But as expected stock returns do not materialize, sentiment-based consumption is reversed. On average, this reversal occurs two to four years later, which coincides with the time it takes for sentiment to correct from prior levels. Sentiment does not positively predict returns as a positive proxy of rational expectations of risk would. Nor does sentiment negatively predict the covariance between consumption growth and returns as an inverse proxy for rational expectations of risk would. The results suggest that bias in investor expectations is an important factor in consumption-based asset pricing models. Chapter 2. I hypothesize that directly observable past returns drive housing investment more so than fundamentals because the difference between price and fundamental value---sentiment---is not directly observable. Housing sentiment only becomes recognizable when it is extreme, so the magnitude of sentiment must be large enough relative to recent returns in order for prices to correct. I construct indices of housing sentiment and use the measures to calibrate a specification of home price growth driven by momentum investing. I find that home price growth is persistent even when prices are moving away from fundamental value, and reversals in home price growth are only likely when the housing sentiment measures are extreme.
Author: John A. Doukas
Publisher:
Published: 2019
Total Pages: 54
ISBN-13:
DOWNLOAD EBOOKThis paper sheds empirical light on whether sentiment affects the profitability of price momentum strategies. We hypothesize that news that contradicts investors' sentiment causes cognitive dissonance, which slows the diffusion of signals that oppose the direction of sentiment. This phenomenon tends to cause underpricing of losers under optimism and underpricing of winners under pessimism. While the latter phenomenon can be corrected by arbitrage buying, short-selling constraints impede arbitraging of losers under optimism, causing momentum to be stronger in optimistic periods. Our empirical analysis supports this argument by showing that momentum profits arise only under optimism, and are driven principally by strong momentum in losing stocks. This result survives a host of robustness checks including controls for market returns, firm size and analyst following. An analysis of net order flows from small and large trades indicates that small (but not large) investors are slow to sell losers during optimistic periods. Momentum-based hedge portfolios formed during optimistic periods experience long-run reversals.
Author: Artur Naporowski
Publisher:
Published: 2014
Total Pages:
ISBN-13:
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