Essays about: "Investor attention"

Showing result 11 - 15 of 67 essays containing the words Investor attention.

  1. 11. Learning From Investor Attention: Examining the Predictive Power of Investor Attention on Market Returns with Machine Learning

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Ludvig Hartler; Lukas Uhrström; [2022]
    Keywords : investor attention; machine learning; PLS; LSTM; stock returns;

    Abstract : We study the predictive properties of investor attention on time series market returns. Extending an earlier proposed index of investor attention aggregated from twelve popularly studied attention proxies, we show that it strongly predicts excess returns on the stock market. READ MORE

  3. 12. Climate Disaster-Triggered Attention Shifts: Evidence from Green Mutual Fund Flows

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Jack Arkesteijn; Simon Wießner; [2022]
    Keywords : Climate disasters; Climate change; Mutual funds; Behavioral finance; LCD;

    Abstract : This thesis empirically investigates the degree to which climate disasters have a behavioral impact on mutual fund flows into green versus non-green funds. Through a twofold analysis that studies both Google search volume-proxied investor attention as well as green and control mutual fund flows, we show that local climate disasters have a positive impact on both investor attention and behavior towards green funds. READ MORE

  4. 13. Swedish green bond market: do firms benefit from green bonds through a lower cost of capital?

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Yosua Sihombing; Márta Vidéki; [2022]
    Keywords : Green bond; Green premium; Stock price reaction; Investor attention;

    Abstract : Green bonds are one of the most important assets in sustainable finance that are projected to reach a market size of USD 1 trillion by the end of 2022. This thesis looks into the Swedish corporate bond market from 2014 to March 2022 with the goal of understanding if firms benefit from a lower cost of capital through the issuance of green bonds. READ MORE

  5. 14. Google Trends and Stocks: Retail Investing's Effect on Trading Performance of Swedish Large Cap Stocks

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Oscar Ehinger; Samier Thomas Musa; [2022]
    Keywords : Big Data; Google Trends; Retail Investing; Online Attention; Stock Trading;

    Abstract : We elaborate on the measure of retail investor attention by assessing search frequency in Google Trends. Search Volume Index (SVI) is explored as a proxy for attention that stocks get from retail investors, and we discuss its explanatory power on stock metrics. READ MORE

  6. 15. Volatility Managing Strategy - A Strategy for Mitigating Risk and Stabilizing Risk-adjusted Return

    University essay from KTH/Matematisk statistik

    Author : Sara Barwary; Hanna Lind; [2021]
    Keywords : ARCH; EGARCH; GARCH; GJR-GARCH; Return; Risk; Volatility; Volatility Managing Strategy; ARCH; EGARCH; GARCH; GJR-GARCH; Avkastning; Risk; Volatilitet; Volatilitetshanterande strategi;

    Abstract : Volatility managing strategies have gained attention over the last few years due to theiralleged ability to increase portfolio return and mitigate risk. This thesis examines the performance and risk of a portfolio using such a strategy on the Swedish equity market. The strategy is dependent on the forecasting of volatility. READ MORE