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Displaying results 26 to 50 of 64.

  1. The power of text-based indicators in forecasting the Italian economic activity
    Author: Aprigliano, Valentina; Emiliozzi, Simone; Guaitoli, Gabriele; Luciani, Andrea; Marcucci, Juri; Monteforte, Libero
    Published: [2021]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

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    Series: Temi di discussione / Banca d'Italia ; number 1321 (March 2021)
    Subjects: forecasting; text mining; sentiment; economic policy uncertainty; big data; BMA
    Scope: 1 Online-Ressource (circa 57 Seiten)
  2. The economics of walking about and predicting unemployment
    Author: Blanchflower, David G.; Bryson, Alex
    Published: 2021
    Publisher:  Global Labor Organization (GLO), Essen

    Unemployment is notoriously difficult to predict. In previous studies, once country fixed effects are added to panel estimates, few variables predict changes in unemployment rates. Using panel data for 29 European countries - Austria; Belgium;... more

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    Unemployment is notoriously difficult to predict. In previous studies, once country fixed effects are added to panel estimates, few variables predict changes in unemployment rates. Using panel data for 29 European countries - Austria; Belgium; Bulgaria; Croatia; Cyprus; Czechia; Denmark; Estonia; Finland; France; Germany; Greece; Hungary; Ireland; Italy; Latvia; Lithuania; Luxembourg; Malta; Netherlands; Poland; Portugal; Romania; Slovakia; Slovenia; Spain; Sweden; Turkey and the UK - over 439 months between January 1985 and July 2021 in an unbalanced country*month panel of just over 10000 observations, we predict changes in the unemployment rate 12 months in advance based on individuals' fears of unemployment, their perceptions of the economic situation and their own household financial situation. Fear of unemployment predicts subsequent changes in unemployment 12 months later in the presence of country fixed effects and lagged unemployment. Individuals' perceptions of the economic situation in the country and their own household finances also predict unemployment 12 months later. Business sentiment (industry fear of unemployment) is also predictive of unemployment 12 months later. The findings underscore the importance of the "economics of walking about". The implication is that these social survey data are informative in predicting economic downturns and should be used more extensively in forecasting. We also generate a 29 country-level annual panel on life satisfaction from 1985-2020 from the World Database of Happiness and show that the consumer level fear of unemployment variable lowers wellbeing over and above the negative impact of the unemployment rate itself. Qualitative survey metrics were able to predict the Great Recession and the economic slowdown in Europe just prior to the COVID pandemic.

     
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    Series: GLO discussion paper ; no. 922
    Subjects: unemployment; fear; sentiment; social attitudes; life satisfaction; recession; COVID
    Scope: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  3. Internet searches, household sentiment and credit spreads
    Author: Byström, Hans N. E.
    Published: October 2019
    Publisher:  Department of Economics, School of Economics and Management, Lund University, Lund

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    Series: Working paper / Department of Economics, Lund University ; 2019, 15
    Subjects: sentiment; Google; internet search; households; CDS; spread; distance to default
    Scope: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  4. Trade sentiment and the stock market
    new evidence based on big data textual analysis of Chinese media
    Author: Amstad, Marlene; Gambacorta, Leonardo; He, Chao; Xia, Fan Dora
    Published: 2021
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Series: BIS working papers ; no 917 (January 2021)
    Subjects: Stock returns; trade; sentiment; big data; neural network; machine learning
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  5. Robert Musil - Ironie, Satire, falsche Gefühle
    Contributor: Mulligan, Kevin (HerausgeberIn); Westerhoff, Armin (HerausgeberIn)
    Published: 2009
    Publisher:  mentis Verlag, Paderborn

    Seit Mitte der 1920er Jahre treten in Robert Musils Werk zunehmend ironische und kritische Töne auf. Sein Hauptwerk, der Roman 'Der Mann ohne Eigenschaften' (1930-1932), präsentiert ein Panoptikum falscher Weltanschauungen, während der immer noch zu... more

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    Seit Mitte der 1920er Jahre treten in Robert Musils Werk zunehmend ironische und kritische Töne auf. Sein Hauptwerk, der Roman 'Der Mann ohne Eigenschaften' (1930-1932), präsentiert ein Panoptikum falscher Weltanschauungen, während der immer noch zu selten beachtete 'Nachlaß zu Lebzeiten' (1935/36) bissige Zeitdiagnose in satirischen Kurztexten versammelt. Die Autoren dieses Bandes folgen Musils kritischen und polemischen Denkanstößen und demonstrieren deren philosophische Relevanz. Dabei werden auch die kritische Rezeption Nietzsches und der Weltanschauungsphilosophie Mit Beiträgen von Bernhard Böschenstein, Jacques Bouveresse, Stéphane Gödicke, Villö Huszai, Stefan Imhoof, Patrizia Lombardo, Catrin Misselhorn, Dominik Müller, Kevin Mulligan, Philip Payne, Gerhard Schurz, Peter Utz, Florence Vatan, Armin Westerhoff

     
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    Contributor: Mulligan, Kevin (HerausgeberIn); Westerhoff, Armin (HerausgeberIn)
    Language: English
    Media type: Ebook
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    ISBN: 9783969750940; 9783897856639
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    Subjects: irony; sentiment
    Scope: 1 Online-Ressource (1 online resource)
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    Includes bibliographical references and index
  6. Volatility, valuation ratios, and bubbles
    an empirical measure of market sentiment
    Author: Gao, Can; Martin, Ian
    Published: [2021]
    Publisher:  Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe, Frankfurt am Main

    We define a sentiment indicator based on option prices, valuation ratios and interest rates. The indicator can be interpreted as a lower bound on the expected growth in fundamentals that a rational investor would have to perceive in order to be happy... more

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    We define a sentiment indicator based on option prices, valuation ratios and interest rates. The indicator can be interpreted as a lower bound on the expected growth in fundamentals that a rational investor would have to perceive in order to be happy to hold the market. The lower bound was unusually high in the late 1990s, reflecting dividend growth expectations that in our view were unreasonably optimistic. We show that our measure is a leading indicator of detrended volume and of analysts' long-term earnings growth expectations. Our approach depends on two key ingredients. First, we derive a new valuation-ratio decomposition that is related to the Campbell and Shiller (1988) loglinearization, but which resembles the Gordon growth model more closely and has certain other advantages. Second, we introduce a volatility index that provides a lower bound on the market's expected log return.

     
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    Series: SAFE working paper ; no. 312
    Subjects: bubbles; Option prices; sentiment; valuation ratios; volatility
    Scope: 1 Online-Ressource (circa 69 Seiten), Illustrationen
  7. The power of sentiment: irrational beliefs of households and consumer loan dynamics
    Author: Rakovská, Zuzana; Ehrenbergerová, Dominika; Hodula, Martin
    Published: 2020
    Publisher:  Czech National Bank, Economic Research Department, Praha

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    Series: Working paper series / Czech National Bank ; 2020, 10
    Subjects: Consumer loans; consumer survey; expectations; optimism; sentiment
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  8. Is business formation driven by sentiment or fundamentals?
    Author: Kaivanto, Kim; Zhang, Peng
    Published: [2021]
    Publisher:  Lancaster University Management School, Lancester

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    Series: Economics working paper series ; 2021/009
    Subjects: sentiment; entrepreneurship; business formation; push- and pull-motives; behavioral finance
    Scope: 1 Online-Ressource (circa 46 Seiten)
  9. Market instability, investor sentiment, and probability judgment error in index option prices
    Author: Charles-Cadogan, G.
    Published: May 2021
    Publisher:  Centre for Research in Economic Theory and its Applications, Coventry, United Kingdom

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    Series: Discussion paper series / Centre for Research in Economic Theory and its Applications ; no: 71
    Subjects: sentiment; crash risk; probability weighting function; index option prices; market instability
    Scope: 1 Online-Ressource (circa 59 Seiten), Illustrationen
  10. 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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    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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    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
  11. Anxiety, expectations stabilization and intertemporal markets
    theory, evidence and policy
    Author: Carbonero, Francesco; Davies, Jeremy; Ernst, Ekkehard; Ghosal, Sayantan; McSorley, Leaza
    Published: [2021]
    Publisher:  [Adam Smith Business School], [Glasgow]

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    Series: Working paper series / University of Glasgow, Adam Smith Business School ; paper no. 2021, 12 (June 2021)
    Subjects: anxiety; investment; uncertainty; strategy; narratives; sentiment; lighthouse; policy; coronacrisis; Brexit
    Scope: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  12. 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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    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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    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
  13. Import competition and U.S. sentiment toward China
    Author: Arezki, Rabah; Duong Trung Le; Nguyen, Ha; Nguyen, Hieu
    Published: April 2024
    Publisher:  CESifo, Munich, Germany

    We empirically examine how import competition affects sentiment toward China in local communities in the United States using a news-based index for sentiment. Results are threefold. First, U.S. sentiment toward China peaked in 2007 before turning... more

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    We empirically examine how import competition affects sentiment toward China in local communities in the United States using a news-based index for sentiment. Results are threefold. First, U.S. sentiment toward China peaked in 2007 before turning negative. Second, communities more exposed to import competition from China have experienced a greater deterioration in sentiment. Third, the trade-induced U.S. sentiment toward China is broad-based, encompassing political, military, and national security issues. These findings suggest that competition over trade may have important geopolitical implications through sentiment of local communities.

     
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    Series: CESifo working papers ; 11044 (2024)
    Subjects: import competition; sentiment; fragmentation
    Scope: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  14. In vi(vi)no veritas?
    expertise, review accuracy and reputation inflation
    Author: Janßen, Rebecca; Ribar, Matthew K.
    Published: [2024]
    Publisher:  ZEW - Leibniz Centre for European Economic Research, Mannheim, Germany

    Review systems including quantitative measures as well as text-based expression of experiences are omnipresent in today’s digital platform economy. This paper studies the existence of reputation inflation, i.e. unjustified increases in ratings, with... more

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    Review systems including quantitative measures as well as text-based expression of experiences are omnipresent in today’s digital platform economy. This paper studies the existence of reputation inflation, i.e. unjustified increases in ratings, with a special focus of heterogeneity between experienced and non-experienced users. Using data on more than 5 million reviews from an online wine platform we compare consistency between numerical feedback and textual reviews as well as sentiment measures. We show that overall the wine platform displays strongly increasing numerical feedback over our time period from 2014 to 2020 while this is not the case for our control measures. This gap appears to be even stronger for users with less experience or expertise in wine reviewing. We conclude, that online platforms as well as potential customers should be aware of the phenomenon of reputation inflation and simplifying feedback to one number might do a disservice to review platforms’ goal of providing a representative quality assessment.

     
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    Series: Discussion paper / ZEW ; no. 23, 075 (12/2023)
    Subjects: reputation inflation; online reviews; expert reviews; sentiment; text data
    Scope: 1 Online-Ressource (28 Seiten), Illustrationen
  15. Understanding factor value
    Author: Zhang, Shaojun
    Published: March 24, 2024
    Publisher:  The Ohio State University, Fisher College of Business, Charles A. Dice Center for Research in Financial Economics, [Columbus, Ohio]

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    Series: Dice Center WP ; 2024, 05
    Fisher College of Business working paper series ; WP 2024-03, 05
    Subjects: factor timing; predictability; mispricing; sentiment; value premium
    Scope: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  16. Sentiment and uncertainty
    Author: Birru, Justin; Young, Trevor
    Published: [2020]
    Publisher:  The Ohio State University, Fisher College of Business, Charles A. Dice Center for Research in Financial Economics, [Columbus, Ohio]

    Sentiment should exhibit its strongest effects on asset prices at times when valuations are most subjective. Consistent with this hypothesis, we show that a one-standard-deviation increase in aggregate uncertainty amplifies the predictive ability of... more

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    Sentiment should exhibit its strongest effects on asset prices at times when valuations are most subjective. Consistent with this hypothesis, we show that a one-standard-deviation increase in aggregate uncertainty amplifies the predictive ability of sentiment for market returns by two to four times relative to when uncertainty is at its mean. We find similar evidence for the cross-section of returns; the predictive ability of sentiment for returns of test assets expected to be most sensitive to sentiment and for anomaly returns is substantially larger in times of higher uncertainty. The results hold for both daily and monthly proxies for sentiment and for various proxies for uncertainty. The evidence sheds light on one component of time-series variation in mispricing and suggests that the effects of sentiment are greatest in times of higher uncertainty

     
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    Series: Working papers series / Charles A. Dice Center for Research in Financial Economics ; WP 2020, 010
    Fisher College of Business Working Paper ; No. 2020-03-010
    Fisher College of Business working paper series ; WP 2020-03, 010
    Subjects: sentiment; uncertainty; market return predictability; cross-section of returns; anomalies; mispricing; behavioral finance
    Scope: 1 Online-Ressource (circa 71 Seiten), Illustrationen
  17. Inside the mind of a stock market crash
    Author: Giglio, Stefano; Maggiori, Matteo; Stroebel, Johannes; Utkus, Stephen P.
    Published: May 2020
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    We analyze how investor expectations about economic growth and stock returns changed during the February-March 2020 stock market crash induced by the COVID-19 pandemic, as well as during the subsequent partial stock market recovery. We surveyed... more

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    We analyze how investor expectations about economic growth and stock returns changed during the February-March 2020 stock market crash induced by the COVID-19 pandemic, as well as during the subsequent partial stock market recovery. We surveyed retail investors who are clients of Vanguard at three points in time: (i) on February 11-12, around the all-time stock market high, (ii) on March 11-12, after the stock market had collapsed by over 20%, and (iii) on April 16-17, after the market had rallied 25% from its lowest point. Following the crash, the average investor turned more pessimistic about the short-run performance of both the stock market and the real economy. Investors also perceived higher probabilities of both further extreme stock market declines and large declines in short-run real economic activity. In contrast, investor expectations about long-run (10-year) economic and stock market outcomes remained largely unchanged, and, if anything, improved. Disagreement among investors about economic and stock market outcomes also increased substantially following the stock market crash, with the disagreement persisting through the partial market recovery. Those respondents who were the most optimistic in February saw the largest decline in expectations, and sold the most equity. Those respondents who were the most pessimistic in February largely left their portfolios unchanged during and after the crash.

     
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    Edition: First draft: April 4th 2020, this draft: May 21, 2020
    Series: CESifo working paper ; no. 8334 (2020)
    Subjects: surveys; expectations; sentiment; behavioural finance; trading; rare disasters
    Scope: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  18. Investigating the drivers of international comovement in real financial asset returns
    Author: McKinnon, Kate
    Published: 2019
    Publisher:  Australian National University, Crawford School of Public Policy, Centre for Applied Macroeconomic Analysis, [Canberra]

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    Series: CAMA working paper ; 2019, 84 (November 2019)
    Subjects: Common shocks; international return comovements; asset pricing; Bayesian estimation; dynamic factor models; sentiment
    Scope: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  19. Firm-level exposure to epidemic diseases
    Covid-19, SARS, and H1N1
    Author: Hassan, Tarek A.; Hollander, Stephan; Lent, Laurence van; Tahoun, Ahmed
    Published: 26 May 2020
    Publisher:  Centre for Economic Policy Research, London

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    Edition: This revision 26 May 2020
    Series: Array ; DP14573
    Subjects: Epidemic diseases; Pandemic; exposure; virus; firms; uncertainty; sentiment; Machine Learning
    Scope: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  20. The global impact of Brexit uncertainty
    Author: Hassan, Tarek A.; Hollander, Stephan; Lent, Laurence van; Tahoun, Ahmed
    Published: 26 December 2019
    Publisher:  Centre for Economic Policy Research, London

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    Series: Array ; DP14253
    Subjects: Brexit; uncertainty; sentiment; machine learning; cross-country effects
    Scope: 1 Online-Ressource (circa 64 Seiten), Illustrationen
  21. Macroeconomic expectations: news sentiment analysis
    Author: Ostapenko, Nataliia
    Published: 2020
    Publisher:  Eesti Pank, Tallinn

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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789949606740
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    Series: Working paper series / Eesti Pank ; 5,2020
    Subjects: expectations; sentiment; news; Latent Dirichlet Allocation (LDA); Doc2Vec
    Scope: 1 Online-Ressource (circa 90 Seiten), Illustrationen
  22. News-based sentiment indicators
    Author: Huang, Chengyu; Simpson, Sean; Ulybina, Daria; Roitman, Agustin
    Published: 2019
    Publisher:  International Monetary Fund, [Washington, DC]

    We construct sentiment indices for 20 countries from 1980 to 2019. Relying on computational text analysis, we capture specific language like 'fear', 'risk', 'hedging', 'opinion', and, 'crisis', as well as 'positive' and 'negative' sentiments, in news... more

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    Orient-Institut Beirut
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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
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    Duale Hochschule Baden-Württemberg Heidenheim, Bibliothek
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    Universitätsbibliothek Leipzig
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    Duale Hochschule Baden-Württemberg Mosbach, Bibliothek
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    We construct sentiment indices for 20 countries from 1980 to 2019. Relying on computational text analysis, we capture specific language like 'fear', 'risk', 'hedging', 'opinion', and, 'crisis', as well as 'positive' and 'negative' sentiments, in news articles from the Financial Times. We assess the performance of our sentiment indices as 'news-based' early warning indicators (EWIs) for financial crises. We find that sentiment indices spike and/or trend up ahead of financial crises

     
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  23. Effects of information overload on financial markets
    how much is too much?
    Author: Bernales, Alejandro; Valenzuela, Marcela; Zer, Ilknur
    Published: [2023]
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: International finance discussion papers ; number 1372 (March 2023)
    Subjects: Limited attention; dispersion; sentiment; predicting returns; behavioral biases
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  24. Confiance et activité économique
    analyse d'impact sur l'économie canadienne
    Author: Moran, Kevin; Stevanović, Dalibor; Touré, Adam Kader
    Published: [2023]
    Publisher:  CIRANO, [Montréal]

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    Language: English
    Media type: Book
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    Series: Rapport de projet / CIRANO ; 2023RP, 10
    Subjects: Confidence; sentiment; macroeconomic fluctuations; VAR
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  25. Measuring business-level expectations and uncertainty
    survey evidence and the COVID-19 pandemic
    Author: Chen, Cheng; Senga, Tatsuro; Zhang, Hongyong
    Published: [2020]
    Publisher:  RIETI, [Tokyo, Japan]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: Revised: June 2021
    Series: RIETI discussion paper series ; 20-E, 081
    Subjects: aggregate uncertainty and firm-level uncertainty; subjective uncertainty and firm expectations; firm heterogeneity; sentiment; COVID-19
    Scope: 1 Online-Ressource (circa 25 Seiten), Illustrationen