The Wiley Finance Series : Handbook of News Analytics in Finance
and previous-day returns are independently sorted into three bins—bottom 30%, middle 40%, and top 30%. The three-by-three partit ...
194 News and abnormal returns Figure 7.2.Buy–sell imbalances for investors at a large discount brokerage based on three-by- thre ...
The effect of attention and news on the buying behavior of individual and institutional investors 195 Table 7.4.Buy–sell imbalan ...
196 News and abnormal returns Table 7.4(cont.) 9 15.13 7.27 9.27 0.98 14.50 4.54 (0.53) (0.83) (0.59) (0.85) (0.64) (0.84) 10a ...
capitalization stocks than for large stocks. Some researchers have suggested that these phenomena may be caused by the psycholog ...
important when investors face a search problem. Each potential purchase—even of a stock already in the portfolio—is competing wi ...
The effect of attention and news on the buying behavior of individual and institutional investors 199 Table 7.5.Buy–sell imbalan ...
200 News and abnormal returns Table 7.5(cont.) 10a 33.03 39.31 12.27 19.97 26.81 27.99 (0.63) (0.85) (0.97) (1.12) (1.06) ...
(Panel A) and the news sort (Panel C). When stocks are sorted on the previous day’s return (Panel B), investors are relatively m ...
(Gervais, Kaniel, and Mingelgrin, 2001) and high-volume stocks with extreme returns experience subsequent price reversals at sho ...
purchased during the past month, andxitis the compound daily return of stockifrom the close of trading on the day of the purchas ...
204 News and abnormal returns Table 7.6.Percentage return performance for portfolios of stocks purchased minus portfolios of sto ...
While the univariate results reported in Table 7.6 (panels A and B) confirm our predictions regarding the effect of attention-ba ...
experienced abnormally high volume. To better distinguish our findings from previous results, in Table 7.6 (panel C) we sort sto ...
When alternatives are many and search costs high, attention may affect choice more profoundly than preferences do. If the attent ...
are most influenced by attention, the stocks they buy will subsequently underperform those they sell. We find strong empirical s ...
7.9 References Bamber L.S.; Barron O.E.; Stober T.L. (1997) ‘‘Trading volume and different aspects of disagreement coincident wi ...
Karpoff J.M. (1987) ‘‘The relation between price changes and trading volume: A survey,’’Journal of Financial and Quantitative An ...
Andy Moniz, Gurvinder Brar, Christian Davies, and Adam Strudwick ABSTRACT Earnings momentum strategies that the majority of syst ...
their motivations such that it is difficult to differentiate between analyst herding that is imitation- or information-driven. S ...
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