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Displaying results 1 to 6 of 6.

  1. Textual analysis of a Twitter corpus during the Covid-19 pandemics
    Author: Astuti, Valerio; Crispino, Marta; Langiulli, Marco; Marcucci, Juri
    Published: [2022]
    Publisher:  Banca d'Italia, [Rom]

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 547
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Questioni di economia e finanza / Banca d'Italia ; number 692 (April 2022)
    Subjects: text as data; Twitter; big data; sentiment; Covid-19; topic analysis; word embedding
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  2. Relative investor sentiment measurement
    Author: Gao, Xiang; Walther, Thomas; Wang, Zhan
    Published: [2022]
    Publisher:  U.S.E. Research Institute, Utrecht, The Netherlands

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: U.S.E. working paper series ; nr: 22, 05
    Subjects: sentiment; emotional bias; cognitive error; bounded rationality; preservers; accumulators; momentum; return predictability
    Scope: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  3. The effect of sentiment on institutional investors
    a gender analysis
    Author: Gehde-Trapp, Monika; Klingler, Linda
    Published: 2022
    Publisher:  Centre for Financial Research, Cologne

    In this paper, we explore whether male and female fund managers react differently to sentiment. Our main idea is that sentiment indicates mispricings of stocks relative to their fundamental values, and that rational fund managers should profit from... more

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 142
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    In this paper, we explore whether male and female fund managers react differently to sentiment. Our main idea is that sentiment indicates mispricings of stocks relative to their fundamental values, and that rational fund managers should profit from these mispricings. As trading against the mispricing is risky, we hypothesize that female fund managers take on less aggressive positions. Indeed, our empirical results show that male fund managers hold portfolios with significantly higher total fund risk and unsystematic risk when sentiment is bad. For female fund managers, we find significantly lower levels in unsystematic risk when sentiment is bad. This difference in risk-taking behavior does not affect fund returns or risk-adjusted performance.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/262376
    Series: CFR working paper ; no. 22, 08
    Subjects: mutual funds; gender; sentiment; investment behavior
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  4. Relative investor sentiment measurement
    Author: Gao, Xiang; Koedijk, Kees; Walther, Thomas; Wang, Zhan
    Published: 09 June 2022
    Publisher:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    LZ 161
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    Location:
    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP17370
    Subjects: sentiment; emotional bias; cognitive error; preservers; accumulators; Momentum; return predictability
    Scope: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  5. Long-short speculator sentiment in agricultural commodity markets
    Author: Borgards, Oliver; Czudaj, Robert
    Published: [2022]
    Publisher:  Chemnitz University of Technology, Faculty of Economics and Business Administration, Chemnitz, Germany

    This paper tests the hypothesis that long-short speculators are able to generate short-term investment returns based on their sentiment for twelve agricultural commodity futures. For this purpose, we dynamically model the equidirectional trading of... more

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    DS 588
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    This paper tests the hypothesis that long-short speculators are able to generate short-term investment returns based on their sentiment for twelve agricultural commodity futures. For this purpose, we dynamically model the equidirectional trading of long and short commodity futures of long-short speculators as a proxy for their market sentiment. We find evidence that the sentiment period returns are considerably positive and differ significantly from neutral sentiment periods for all commodities which underlines the sentiment's relevance. In line with the empirical literature, we can reject the argument of price manipulation as the price continues to develop into the direction of the sentiment period although long-short speculators trade non-directionally in the following. We rather indicate the existence of a short-term time-series momentum effect, which can be robustly identified without the requirement to define an external model parameter. From the superior sentiment-based momentum returns, we conclude that long-short speculators have valuable, exclusive information, which cannot be replicated by observing their trading activity with a time lag of eight trading days. We also find that a sentiment-based momentum strategy generates significantly higher returns than the long-short speculators have realized in the fifteen-year sample period which we attribute to the complexity of the long-short speculators' investment strategies

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/249300
    Series: Chemnitz economic papers ; no. 055 (January 2022)
    Subjects: commodities; time-series momentum; sentiment; long-short speculators; commitment of traders; price manipulation
    Scope: 1 Online-Ressource (circa 29 Seiten), Illustrationen
  6. Bank manager sentiment, loan growth and bank risk
    Author: Brückbauer, Frank; Cezanne, Thibault
    Published: [2022]
    Publisher:  ZEW - Leibniz Centre for European Economic Research, Mannheim, Germany

    We build a textual score measuring the tone of bank earnings press release documents. We use this measure to define bank manager sentiment as the variation in the textual tone score which is orthogonal to bank-specific and macroeconomic fundamentals.... more

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    Verlag (kostenfrei)
    Verlag (kostenfrei)
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    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 15
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    Location:
    Universitätsbibliothek Mannheim
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    We build a textual score measuring the tone of bank earnings press release documents. We use this measure to define bank manager sentiment as the variation in the textual tone score which is orthogonal to bank-specific and macroeconomic fundamentals. Using this definition of sentiment, we present evidence on how bank managers’ systematic overoptimism affects the amount of credit that they supply to the real sector. Our empirical evidence suggests that decisions on the volume of new loans partially depend on past realizations of economic fundamentals, implying that loan growth and contemporaneous economic fundamentals might be systematically disconnected. Furthermore, we show that over-optimism on the part of bank managers spills over to their equity investors, who seem to perceive banks with high bank manager sentiment as having a lower systemic risk.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/268245
    Series: Discussion paper / ZEW ; no. 22, 066 (12/2022)
    Subjects: sentiment; text data; extrapolation; loan growth; systemic risk
    Scope: 1 Online-Ressource (31 Seiten), Illustrationen