Related papers: Stock-driven Household Attention
We study the role of active and passive investors in an investment market with uncertainties. Active investors concentrate on a single or a few stocks with a given probability of determining the quality of them. Passive investors spread…
This paper analyzes the bank lending channel and the heterogeneous effects on the euro area, providing evidence that the channel is indeed working. The analysis of the transmission mechanism is based on structural impulse responses to an…
I analyze the risk-coping strategies of factory-worker households in early twentieth-century Tokyo. I digitized a unique daily longitudinal household budget survey conducted in Tsukishima, a representative manufacturing area, to examine how…
Market confidence is essential for successful investing. By incorporating multi-market into the evolutionary minority game, we investigate the effects of investor beliefs on the evolution of collective behaviors and asset prices. When there…
Our main task is to study the effect of corporate governance on the market liquidity of listed companies' stocks. We establish a theoretical model that contains the heterogeneity of investors' beliefs to explain the mechanisms by which…
In a general way, stock and bond prices do not display any significant correlation. Yet, if we concentrate our attention on specific episodes marked by a crash followed by a rebound, then we observe that stock prices have a strong…
We study the statistics of earning forecasts of US, EU, UK and JP stocks during the period 1987-2004. We confirm, on this large data set, that financial analysts are on average over-optimistic and show a pronounced herding behavior. These…
The distribution of household income is a central concern of modern economic policy due to its strong influence on life quality. Yet, non-expert audiences are unaware of the relationship between these two factors. To effectively communicate…
We argue that an important contributing factor into market inefficiency is the lack of a robust mechanism for the stock price to rise if a company has good earnings, e.g., via buybacks/dividends. Instead, the stock price is prone to…
Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal payoff. Economic intuition suggests that…
Both buyers and sellers face uncertainty in real estate transactions in about when to time a transaction and at what cost. Both buyers and sellers make decisions without knowing the present and future state of the large and dynamic real…
This paper evaluates the dynamic response of economic activity to shocks in uncertainty as percieved by agents.The study focuses on the comparison between the perception of economic uncertainty by manufacturers and consumers.Since…
Attention mechanisms have recently boosted performance on a range of NLP tasks. Because attention layers explicitly weight input components' representations, it is also often assumed that attention can be used to identify information that…
In complex systems, many different parts interact in non-obvious ways. Traditional research focuses on a few or a single aspect of the problem so as to analyze it with the tools available. To get a better insight of phenomena that emerge…
We propose a nonparametric method for estimating the distribution of consumer welfare from cross-sectional data with no restrictions on individual preferences. First demonstrating that moments of demand identify the curvature of the…
In this study, we will study investor attention measurement using the Search Volume Index in the recent market. Since 2009, the popularity of mobile devices and the spread of the Internet have made the speed of information delivery faster…
This paper investigates the heterogeneous impacts of either Global or Local Investor Sentiments on stock returns. We study 10 industry sectors through the lens of 6 (so called) emerging countries: China, Brazil, India, Mexico, Indonesia and…
Traditional stock market prediction approaches commonly utilize the historical price-related data of the stocks to forecast their future trends. As the Web information grows, recently some works try to explore financial news to improve the…
Index funds are substantially preferred by investors nowadays, and market sensitivities are instrumental in managing index funds. An index fund is a mutual fund aiming to track the returns of a predefined market index (e.g., the S&P 500). A…
Stock market indices are one of the most investigated complex systems in econophysics. Here we extend the existing literature on stock markets in connection with nonextensive statistical mechanics. We explore the nonextensivity of price…