相关论文: Retail Investor Horizon and Earnings Announcements
It is widely claimed in investment education and practice that extending the investment horizon reduces risk, and that diversifying investment timing, for example through dollar-cost averaging (DCA), further mitigates investment risk.…
This study measures the long memory of investor-segregated cash flows within the Korean equity market from 2015 to 2024. Applying detrended fluctuation analysis (DFA) to BUY, SELL, and NET aggregates, we estimate the Hurst exponent ($H$)…
Recent work has emphasized the diversification benefits of combining trend signals across multiple horizons, with the medium-term window-typically six months to one year-long viewed as the "sweet spot" of trend-following. This paper…
This paper describes experiments on fine-tuning a small language model to generate forecasts of long-horizon stock price movements. Inputs to the model are narrative text from 10-K reports of large market capitalization companies in the S&P…
This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over a short term…
Chae and Kang (2019, \textit{Pacific-Basin Finance Journal}) documented a puzzling Low Volume Return Premium (LVRP) in Korea -- contradicting global High Volume Return Premium (HVRP) evidence. We resolve this puzzle. Using Korean market…
Inspired by the recent literature on aggregation theory, we aim at relating the long range correlation of the stocks return volatility to the heterogeneity of the investors' expectations about the level of the future volatility. Based on a…
In stochastic finance, one traditionally considers the return as a competitive measure of an asset, {\it i.e.}, the profit generated by that asset after some fixed time span $\Delta t$, say one week or one year. This measures how well (or…
Armed with a decade of social media data, I explore the impact of investor emotions on earnings announcements. In particular, I test whether the emotional content of firm-specific messages posted on social media just prior to a firm's…
Stock trend forecasting, which forecasts stock prices' future trends, plays an essential role in investment. The stocks in a market can share information so that their stock prices are highly correlated. Several methods were recently…
We analyze Robinhood (RH) investors' trading reactions to intraday hourly and overnight price changes. Contrasting with recent studies focusing on daily behaviors, we find that RH users strongly favor big losers over big gainers. We also…
This paper provides a holistic study of how stock prices vary in their response to financial disclosures across different topics. Thereby, we specifically shed light into the extensive amount of filings for which no a priori categorization…
How information transmits through prices -- and why this transmission breaks down -- remains poorly understood. We combine regularized deconvolution with Hawkes process analysis to study the impulse response structure of investor flows in…
Measuring beliefs about natural disasters is challenging. Deep out-of-the-money options allow investors to hedge at a range of strikes and time horizons, thus the 3-dimensional surface of firm-level option prices provides information on (i)…
We study how sentiment shocks propagate through equity returns and investor clientele using four independent proxies with sign-aligned kappa-rho parameters. A structural calibration links a one standard deviation innovation in sentiment to…
While Post-Earnings-Announcement Drift (PEAD) is one of the most studied stock market anomalies, the current literature is often limited in explaining this phenomenon by a small number of factors using simpler regression methods. In this…
For an investor with constant absolute risk aversion and a long horizon, who trades in a market with constant investment opportunities and small proportional transaction costs, we obtain explicitly the optimal investment policy, its implied…
We investigate the emergence of a structure in the correlation matrix of assets' returns as the time-horizon over which returns are computed increases from the minutes to the daily scale. We analyze data from different stock markets (New…
In this paper we seek to demonstrate the predictability of stock market returns and explain the nature of this return predictability. To this end, we introduce investors with different investment horizons into the news-driven, analytic,…
This paper proposes a theory of stock market predictability patterns based on a model of heterogeneous beliefs. In a discrete finite time framework, some agents receive news about an asset's fundamental value through a noisy signal. The…