Supplementary Material for “Advance Information and Asset Prices” October 24, 2012
... information about future earnings on the stock received at t implies that good investment opportunities are likely for both the stock and the private investment opportunity in the future and makes informed investors hold less of both assets. We use numerical examples to evaluate the relative importa ...
... information about future earnings on the stock received at t implies that good investment opportunities are likely for both the stock and the private investment opportunity in the future and makes informed investors hold less of both assets. We use numerical examples to evaluate the relative importa ...
Causes and Consequences of Margin Levels in Futures Markets
... realized variance slowly mean-reverts. Margin changes are of course endogenous as they are set by the clearing house primarily based on volatility, and I address this endogeneity problem throughout the paper. Traders in commodity futures often state that margin increases squeeze out speculators and ...
... realized variance slowly mean-reverts. Margin changes are of course endogenous as they are set by the clearing house primarily based on volatility, and I address this endogeneity problem throughout the paper. Traders in commodity futures often state that margin increases squeeze out speculators and ...
Predicting Returns and Volatilities with Ultra
... http://gsbwww.uchicago.edu/fac/jeffrey.russell/research/ http://weber.ucsd.edu/~mbacci/engle/ ...
... http://gsbwww.uchicago.edu/fac/jeffrey.russell/research/ http://weber.ucsd.edu/~mbacci/engle/ ...
TS4.3.DAMIR PAHIC
... • State Geodetic Administration (SGA), central office - organization of cadastral resurvey process, public tenders for private licensed geodetic companies, financial sources (state budget) for cadastral resurvey (25%) • Public enterprises - financial sources (15%) • Counties - financial sources (5%) ...
... • State Geodetic Administration (SGA), central office - organization of cadastral resurvey process, public tenders for private licensed geodetic companies, financial sources (state budget) for cadastral resurvey (25%) • Public enterprises - financial sources (15%) • Counties - financial sources (5%) ...
Hedging With Futures Contract
... been criticized for not taking into account the expected return which is inconsistent with the mean-variance framework. Since the selection of a hedge ratio is dependent on the hedgers’ objective in the hedging position, this will be different for various participants in the carbon market. For exam ...
... been criticized for not taking into account the expected return which is inconsistent with the mean-variance framework. Since the selection of a hedge ratio is dependent on the hedgers’ objective in the hedging position, this will be different for various participants in the carbon market. For exam ...
dollar cost averaging - the role of cognitive error
... price ($4) by buying more shares when they are relatively cheap. This effectively compares the ...
... price ($4) by buying more shares when they are relatively cheap. This effectively compares the ...
Market sentiment
Market sentiment is the general prevailing attitude of investors as to anticipated price development in a market. This attitude is the accumulation of a variety of fundamental and technical factors, including price history, economic reports, seasonal factors, and national and world events.For example, if investors expect upward price movement in the stock market, the sentiment is said to be bullish. On the contrary, if the market sentiment is bearish, most investors expect downward price movement. Market sentiment is usually considered as a contrarian indicator: what most people expect is a good thing to bet against. Market sentiment is used because it is believed to be a good predictor of market moves, especially when it is more extreme. Very bearish sentiment is usually followed by the market going up more than normal, and vice versa.Mutual fund flows are very useful.Market sentiment is monitored with a variety of technical and statistical methods such as the number of advancing versus declining stocks and new highs versus new lows comparisons. A large share of overall movement of an individual stock has been attributed to market sentiment The stock market's demonstration of the situation is often described as all boats float or sink with the tide, in the popular Wall Street phrase ""the trend is your friend"".Market sentiment, as such, might be acquired from more than one sentiment analytical tool. For example there could be just simple extraction of movement on stock exchange and validly called market sentiment. Another tool is to extract the news and media information based on their polarity. Yet another sub-subject might be community sentiment about the market movements (blogs, forums).In the last decade, investors are also known to measure market sentiment through the use of news analytics, which include sentiment analysis on textual stories about companies and sectors.The Acertus Market Sentiment Indicator (AMSI) is one indicator of market sentiment. AMSI incorporates five variables. In descending order of weight in the indicator they are Price/Earnings Ratio, a measure of stock market valuations; price momentum, a measure of market psychology; Realized Volatility, a measure of recent historical risk; High Yield Bond Returns, a measure of credit risk; and the TED Spread, a measure of systemic financial risk. Each of these factors provides a measure of market sentiment through a unique lens, and together they may offer a more robust indicator of market sentiment.Additional indicators exist to measure the sentiment specifically of retail Forex market investors. Though the Forex market is decentralized (not traded on a central exchange), various retail Forex brokerage firms publish positioning ratios (similar to the Put/Call ratio) and other data regarding their own clients' trading behavior. Since most retail currency traders are unsuccessful, measures of Forex market sentiment are typically used as contrarian indicators.