Firm-specific investor sentiment and daily stock returns

Seok, Sangik; Cho, Hoon; Ryu, Doojin

doi:10.1016/j.najef.2018.10.005

Cited by 66 publications

(53 citation statements)

References 70 publications

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“…It may be that medium sized firms are large enough that Twitter users are actively tweeting about those stocks but small enough that the impact of their tweets on speculation is heightened. These results are similar to Seok et al (2018), who find a similar decrease in coefficients with higher deciles. Smales (2017) does not find this pattern when comparing small and large cap portfolios.…”

Section: Robustness By Sizesupporting

confidence: 89%

“…Frijns et al (2017) show that US investor sentiment (as measured by the American Association of Individual Investors Investor sentiment survey) is related to market returns for several developed countries. Seok et al (2018) find a high frequency firm specific investor sentiment index utilizing a Baker and Wurgler (2006) method for the Korean stock market can predict future returns in the Korean stock market. Xu and Zhou (2018) utilizing an investor sentiment based on Huang et al (2015) find market investor sentiment can predict future returns in the Chinese A-share market.…”

Section: Literature Reviewmentioning

confidence: 99%

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Stock returns and investor sentiment: textual analysis and social media

2019

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The behavioral finance literature has found that investor sentiment has predictive ability for equity returns. This differs from standard finance theory, which provides no role for investor sentiment. We examine the relationship between investor sentiment and stock returns by employing textual analysis on social media posts. We find that our investor sentiment measure has a positive and significant effect on abnormal stock returns. These findings are consistent across a number of different models and specifications, providing further evidence against non-behavioral theories. JEL-Classification: G12, G13, G14

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Section: Robustness By Sizesupporting

confidence: 89%

Section: Literature Reviewmentioning

confidence: 99%

Stock returns and investor sentiment: textual analysis and social media

2019

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“…Therefore, the PER ratio increases over time in line with the rise in investor sentiment. Seok et al (2019a) explored the effect of firm-specific investor sentiment on stock returns. Unlike Ryu et al (2017), they developed the sentiment index using the residuals of RSI, PLI, ATR, and LNV, which was intended to replace marketwide sentiment to obtain firm-level sentiment.…”

Section: Previous Studiesmentioning

confidence: 99%

“…Second, due to the high sensitivity to new information or specific events, investor sentiment may change dynamically on a daily basis. It is considered to use high-frequency rather than low-frequency data (Seok et al, 2019a(Seok et al, , 2019b.…”

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confidence: 99%

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Are Islamic Stocks Less Exposed to Sentiment-Based Mispricing Than Non-Islamic Ones? Evidence From the Indonesian Stock Exchange

Hashfi

Naufa

Munawaroh

2021

JIMF

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The aim of this research is to verify the role of Islamic value in stock mispricing in the Indonesian capital market. Empirically, high investor sentiment can lead to mispricing on equity appraisal. When investors feel excessively optimistic about their valuation, equity will be overpriced, or vice versa. The presence of Islamic values, such as the prohibition of interest, speculative and uncertain transactions, and excessive leverage, arguably reduce sentiment-based mispricing. Daily and cross-sectional market data were employed. In addition, principal component analysis was conducted to construct a firm-specific investor sentiment variable. With regard to the method, the Hausman-Taylor (H-T) approach was used to deal with heterogeneity, endogeneity, and the time-invariant variable in Fama-MacBeth regression. The results show that our baseline analysis confirms the mispricing of overall stocks. However, Islamic stocks are less exposed to sentiment-based mispricing than their non-Islamic counterparts. The results are consistent with our robustness test, in which we estimate the equation model across industry and portfolio. Finally, our findings imply various insights for both investors and policymakers.

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The impact of net buying pressure on index options prices

Ryu

Yang

2020

Journal of Futures Markets

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This study examines whether the demand for options, as measured by the net buying pressure of index options, explains the implied volatility structure created by options prices. We decompose the buying pressure into the direction‐motivated (i.e., delta‐informed) and the volatility‐motivated (i.e., vega‐informed) demand for options. After controlling for options traders' hedging demand, we find that both delta‐ and vega‐informed trading play significant roles in explaining changes in implied volatility. Foreign institutions are more directionally informed in index options trading than their domestic counterparts are. Domestic investors effectively implement volatility trading using put options.

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Firm-specific investor sentiment and daily stock returns

Cited by 66 publications

References 70 publications

Stock returns and investor sentiment: textual analysis and social media

Stock returns and investor sentiment: textual analysis and social media

Are Islamic Stocks Less Exposed to Sentiment-Based Mispricing Than Non-Islamic Ones? Evidence From the Indonesian Stock Exchange

The impact of net buying pressure on index options prices

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