Chinese institutional investors’ sentiment

Kling, Gerhard; Gao, Lei

doi:10.1016/j.intfin.2007.04.002

Cited by 118 publications

(88 citation statements)

References 40 publications

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“…Merger arbitrageurs trade heavily around merger announcements, and therefore the response to misevaluations due to sentiment is expected to be immediate. However, since professional investors are still prone to behavioral biases (Kaplanski and Levy, 2013;Kling and Gao, 2008;Gleijser and Heyndels, 2001), albeit to a lesser extent than other market participants, a full recovery to the initial stock prices may not be expected to show up empirically.…”

Section: Is the Relation Between Sentiment And Bidder Returns Irratiomentioning

confidence: 99%

“…However, there is evidence to suggest professional investors may also be liable to be influenced by sentiment, with e.g., Kaplanski and Levy (2013) reporting that US analyst recommendations are influenced by sentiment, and Kling and Gao (2008) showing that stock returns and contemporaneous Chinese institutional investor sentiment are positively related.…”

Section: Introductionmentioning

confidence: 99%

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Investor sentiment and bidder announcement abnormal returns

Danbolt

Siganos

Vagenas‐Nanos

2015

Journal of Corporate Finance

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We introduce the significance of a direct sentiment proxy as an explanatory variable of bidder announcement returns. We argue that sentiment subconsciously influences investor perception of potential merger synergies and risks, and therefore relates to bidder abnormal returns. We proxy daily sentiment based on Facebook status updates across seventeen international markets and show that there is a positive relation between sentiment and bidder announcement returns. In line with behavioral literature stating that sentiment more heavily influences uninformed traders, this relation is more pronounced in acquisitions with a low percentage of blockholder ownership, acquisitions of US public targets, and acquisitions of large targets relative to the size of the bidders. Our study goes beyond the conventional sentiment and stock market returns literature, uncovering a significant relation between sentiment and firm-specific abnormal returns to acquiring companies.

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Section: Is the Relation Between Sentiment And Bidder Returns Irratiomentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Investor sentiment and bidder announcement abnormal returns

Danbolt

Siganos

Vagenas‐Nanos

2015

Journal of Corporate Finance

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“…Ng and Wu [14] however find that neither the volume of trade of institutional nor individual investors demonstrates price predictability. Using a survey based measure of institutional investor sentiment, [15] report that sentiment does not predict future market movements, but a drop in sentiment increases market volatility and destabilizes markets.…”

Section: A Brief Review Of Literaturementioning

confidence: 99%

Swings in Sentiment and Stock Returns: Evidence from a Frontier Market

Rahman¹,

Shien²,

Sadique³

2013

IJTEF

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Abstract-We investigate the impact of noise trader sentiment on the formation of expected returns and volatility in the context of the frontier stock market of Bangladesh. Empirical results based on a GARCH-in-mean framework show that shifts in investor sentiment are significantly positively correlated with excess market returns. Evidence of this direct impact of changes in sentiment on expected returns is robust across sample periods and alternative measures of sentiment we use in the analysis. In addition, we find that the magnitude of bullish or bearish sentiment changes also exerts an indirect effect on expected returns through its asymmetric influence on the conditional volatility process. Overall, our results suggest that shifts in investor sentiment in the market represent a systematic risk factor that is priced in equilibrium.Index Terms-Investor sentiment, volatility, excess returns. I. INTRODUCTIONWe undertake an empirical investigation into the potential impact of trading behavior of uninformed investors on the stock price dynamics of a frontier stock market. Unlike that of informed investors, trading decisions of uninformed investors are driven by sentiment which is not justified by currently available fundamental information about future cash flows and investment risk.At least since John Maynard Keynes' [1] use of the analogy of a -beauty contest‖ to illustrate investor behavior, economists have pondered the ways in which agent sentiment can play out in the financial markets to move asset price away from fundamental value. Decades later, DeLong, Shleifer, Summers, and Waldmann [2] formalize the role of sentiment in a financial market which is populated by two categories of investors: informed traders who rationally anticipate asset value, and uninformed noise traders who experience waves of optimistic or pessimistic sentiment that is not fully justified by the facts about fundamentals at hand. They demonstrate how, aggregate demand shifts on the part of noise traders (as a result of their acting in concert) triggered by changes in sentiment can induce a systematic risk that is priced in equilibrium. In their model, noise trader sentiment is stochastic and the deviations in price from fundamental value created by changes in sentiment are unpredictable. As a result, now informed investors have to take into account not only fundamental risk of investment but also the risk that investor sentiment becomes even more extreme and prices move further away from fundamental values over the holding period. This additional risk, known as the noise trader risk, renders arbitrage activity risky and prevents risk-averse informed traders from taking fully offsetting positions to correct mispricing induced by noise trading. Consequently, noise trader risk represents an additional source of systematic risk that is priced in the market.So far a number of studies, mostly done in the context of US markets using a variety of sentiment proxies, have largely lent support to the implication of the DSSW model for asset pricin...

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“…kling and Gao (2007) studied the behavior of Chinese capitalists showing the asymmetry of volatility in the behavior of capitalists using VAR and GARCH empirical models and indicating that there is no long term relation between price of stock and capitalists` behavior but there is a short term dynamic relation between them. Also, capitalist`s behavior do not forecast future variations but decreasing confidence lead to volatility and instability of the market (kling and Gao, 2007).…”

Section: Business and Economic Researchmentioning

confidence: 99%

Evaluating Factors Affecting Transactors` and Managers` Decision Making in Investing

Mohammadzadeh

Ghabcheluo

Sartipi

2014

Business and Economic Research

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Capital market paves the way for developing and creating job and improving level of welfare by directing capitals and savings of people. Economic growth and welfare improvement cannot be achieved in long term without considering investing and main factors existing in the environment. This paper evaluates factors affecting transactors` and managers` decision making for investing. Independent variables include dividend per share (DPS), yield, price trend, market status, consulting and recommendations of brokers, and perceived risk which is considered as features of capitalists. Also, dependent variable contains transactors` and managers` decision making. Statistical population includes all capitalists referred to hall of the Tehran Stock Exchange in 2012. The sample is simply randomized. Data is collected through library and field methods by distributing questionnaires among 130 stock capitalists. Then, the research hypothesis is examined and analyzed using descriptive and inferential statistics with respect to collected data. Finally, the obtained results from distributed questionnaires are ISSN 2162-4860 2014 www.macrothink.org/ber 83 analyzed using SPSS software. The results show that capitalists do not rely on the financial statements and financial ratios and the accounting system as a whole, in return, they consider the more tangible criteria such as price trend and market status. Business and Economic Research

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Chinese institutional investors’ sentiment

Cited by 118 publications

References 40 publications

Investor sentiment and bidder announcement abnormal returns

Investor sentiment and bidder announcement abnormal returns

Swings in Sentiment and Stock Returns: Evidence from a Frontier Market

Evaluating Factors Affecting Transactors` and Managers` Decision Making in Investing

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