stock-return forecastsfundamentalsmarket sentimentstructural changemodel ambiguityWe reveal a novel channel through which market participants' sentiment influences how they forecast stock returns: their optimism (pessimism) affects the weights they assign to fundamentals. Our analysis yields four main findings...
摘要: Sentiment from over 3.6 million Reuters news articles is tested in a vector autoregression model framework on its ability to forecast returns of the Dow Jones I关键词: Reuters sentiment stock returns out-of-sample forecasts vector error correction model ...
Huang Guanyao [9] selected Shanghai securities composite index to fit and forecast accuracy of four GARCH models on the volatility of the stock market to make a comparative study. Li Xindan et al. [10] used the same index and found that ARCH effect existed in investor sentiment, at...
These results, consistent with Baker and Wurgler (2006), suggest that stocks that are difficult to value and costly to arbitrage are more sensitive to manager sentiment-driven mispricing. In contrast, while investor sentiment could significantly forecast stocks that are costly to arbitrage, it cannot...
Using sentiment scores computed from Twitter data, Behrendt and Schmidt (2018) show that company-specific sentiment has an influence on the intraday volatility, but that the forecast improvements are not economically significant. What distinguishes our study from previous research on this subject is ...
As we prepare for a new administration to take the reins in Washington, the near-term market landscape is rife with uncertainty. The Federal Reserve has already hinted at the turbulence ahead, lowering its interest rate outlook for 2025. Meanwhile, breakthroughs in artificial intelligence (AI)...
Train model on a period, forecast the period that immediately follows; consume chunked or sequened data. Example: train on data from index 0 to index 14 and predict the value at the 15th index position. The model in each prediction window is a new model, only predicting the next sequence...
Certain arguments related to analyst experience and analysts forecast accuracy directed to the depth of information that analyst gathered from firm that they follow. Chan and Hameed 11 have made conclusion related to analyst coverage to stock return synchronicity, even though they implicitly assumed that...
Similarly, our proposed method achieved the best performance in the 5th, 15th, and 30th excess return forecasts, with the highest accuracy rate as the “bull” 15th excess return forecast. The table shows that the overall accuracy of the “bull market” is higher than that of the “bear ...
Stock market prediction aims to forecast the future value of a stock based on historical stock prices and other information. Accurate prediction of the stock price is a challenging task due to its nonlinear and chaotic nature. It is affected by many factors, such as economic change, politics, ...