Good Times or Bad Times? Investors' Uncertainty and Stock Returns

Ozoguz, Arzu

doi:10.2139/ssrn.558550

Cited by 49 publications

(75 citation statements)

References 117 publications

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“…1. They could be made time varying and dependent on external variables through a probit link function as in Gray [1996] and Ozoguz [2009], or a logit function as in Liu, Margaritis and Wang [2012]. 2.…”

Section: Discussionmentioning

confidence: 99%

Predicting Equity Markets with Digital Online Media Sentiment: Evidence from Markov-switching Models

Nooijen¹,

Broda

2016

Journal of Behavioral Finance

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The authors examine the predictive capabilities of online investor sentiment for the returns and volatility of MSCI U.S. Equity Sector Indices by including exogenous variables in the mean and volatility specifications of a Markov-switching model. As predicted by the semistrong efficient market hypothesis, they find that the Thomson Reuters Marketpsych Indices (TRMI) predict volatility to a greater extent than they do returns. The TRMI derived from equity specific digital news are better predictors than similar sentiment from social media. In the two-regime setting, there is evidence supporting the hypothesis of emotions playing a more important role during stressed markets compared to calm periods. The authors also find differences in sentiment sensitivity between different industries: it is greatest for financials, whereas the energy and information technology sectors are scarcely affected by sentiment. Results are obtained with the R programming language. Code is available from the authors upon request.

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Section: Discussionmentioning

confidence: 99%

Predicting Equity Markets with Digital Online Media Sentiment: Evidence from Markov-switching Models

Nooijen¹,

Broda

2016

Journal of Behavioral Finance

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“…We view this approach as a test of investor response to a given disclosure (Beaver ; Bamber ; Cready and Mynatt ). Later studies suggest we can also interpret such a response as an indication of how a given disclosure might change investor uncertainty about future stock returns (Veronesi ; Ozoguz ).…”

Section: Data Sample and Research Designmentioning

confidence: 99%

The Relevance to Investors of Greenhouse Gas Emission Disclosures

Griffin

Lont

Sun

2017

Contemporary Accting Res

344

215

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This study finds that investors price firms' greenhouse gas (GHG) emissions as a negative component of equity value, and this valuation discount does not differ between firms that voluntarily disclose to the Carbon Disclosure Project (CDP) and nondisclosing firms. We derive the GHG emissions for nondisclosers from an estimation model that incorporates firm characteristics and industry. The finding that investors view CDP amounts and estimates of emissions as equally value-relevant suggests that equity values reflect GHG information from channels other than the CDP. An event study of investors' response to emission-related information in firms' 8-K filings further supports this finding. Economically, our results suggest that, for the median S&P 500 firm, GHG emissions impose a market-implied equity discount of $79 per ton, representing about one-half of 1 percent of market capitalization. * Accepted

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“…3 The main motivation arises from the fact that economic policy uncertainties may have greatly contributed to the recent long-swings trend and important instability of stock prices (Baker et al, 2012;Brogaard and Detzel, 2012). Major recent studies tackling this issue provide evidence that the increase in economic policy uncertainty is generally associated with a decline in stock returns and a rise in stock volatility (e.g., Ozoguz, 2009;Dzielinski, 2012;Pástor and Veronesi, 2012;Bhagat et al, 2013;Pástor and Veronesi, 2013;Antonakakis et al, 2013;Kang and Ratti, 2013). The study by Pástor and Veronesi (2012) also concludes on a negative relationship between stock market returns and government policy uncertainty as measured by the variance of policy changes.…”

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confidence: 99%

Are stock prices related to the political uncertainty index in OECD countries? Evidence from the bootstrap panel causality test

et al. 2015

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This study applies bootstrap panel causality, proposed by Kónya (2006), to investigate causal link between political uncertainty and stock price for seven OECD countries over the monthly period of 2001.01 to 2013.04. This modeling approach allows us to examine both the cross-sectional dependency and the country-specific heterogeneity. Our empirical results indicate that not all the countries are alike and that the theoretical prediction that stock prices fall at the announcement of a policy change is not always supported. Specifically, we find evidence of the stock price leading hypothesis for Italy and Spain, while the political uncertainty leading hypothesis cannot be rejected for the United Kingdom and the United States. In addition, the neutrality hypothesis was supported in the remaining three countries (Canada, France, and Germany), while the feedback hypothesis, however, is never found.

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Good Times or Bad Times? Investors' Uncertainty and Stock Returns

Cited by 49 publications

References 117 publications

Predicting Equity Markets with Digital Online Media Sentiment: Evidence from Markov-switching Models

Predicting Equity Markets with Digital Online Media Sentiment: Evidence from Markov-switching Models

The Relevance to Investors of Greenhouse Gas Emission Disclosures

Are stock prices related to the political uncertainty index in OECD countries? Evidence from the bootstrap panel causality test

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