Yes / While research on factors driving corporate investment decisions has blossomed, knowledge related to the Chief Executive Officer’s (CEO’s) market sentiment on investment decision outcomes is lacking. In this study, we extend the existing corporate finance literature by examining the underexplored issue of how CEOs’ market sentiment drives firms’ investment decisions. Capitalising on a large sample of US firms for the period 2004-2014, we uncovered some crucial observations. First, we found empirical support for our theoretical contention that market sentiment drives corporate investment decisions. Second, we established that, while financial flexibility induces managers to overinvest, the expectation of future profitability leads firms to underinvest during high sentiment periods. In addition, we uncovered that the 2007/08 financial crisis significantly impacted firm behaviour and realigned managerial decision-making. Thus, the sentiment-investment relationship is more pronounced during the crisis and the post-crisis periods. Our results are robust after accounting for the possibility of endogeneity and using alternative measures of both CEOs’ market sentiment and firm investment.

The objective of this study is to discover the non-linear effect of market sentiment to characteristic factor returns. We run ¡¥Quantile Regression¡¦ to help us extract useful information and design an effective strategy. Based on the quantitative investment method, using the platform of Multi-Factor Model (MFM), we attempt to construct a portfolio and enhance portfolio performance. If the market-sentiment variable increases performance, we could conclude that some characteristic factors in a high sentiment period will perform better or worse in the next period. What is the market or investor sentiment? It is still a problem in the finance field. There is no co-definition or consensus so far. We do our best to collect the indirect data, such as transaction data, price and volume data, and some indicators in other studies, VIX, put/call ratio and so on. Then, we test the proxy variables independently, and obtain some interesting results. The market turnover, the ratio of margin lending on funds/ margin lending on securities, and the growth rate of consumer confidence index have significant effects on some of the characteristic factors. This holds that some market sentiment variables could influence stocks with certain characteristics, and the factor timing approach could improve portfolio performance under examination by information ratio.

In this thesis, we aim to improve forecast accuracy of a heterogenous au- toregressive model (HAR) by including market sentiment indicators based on Google search volume and Twitter sentiment. We have analysed 30 com- panies of the Dow Jones index for a period of 15 months. We have performed out-of-sample forecast and compiled a ranking of the extended models based on their relative performance. We have identified three relevant variables: daily negative tweets, daily Google search volume and weekly Google search volume. These variables improve forecast accuracy of the HAR model se- parately or in a Twitter-Google combination. Some specifications improve forecast accuracy by up to 22% for particular stocks, others impair forecast accuracy by up to 24%. The combination of daily negative tweets and weekly search volume is a superior model to the basic HAR for 17 stocks according to RMSE and for 16 stocks according to MAE and MASE. The daily nega- tive tweets specification outperforms the basic HAR for 17 and 19 stocks, respectively. And, the combination of daily negative tweets and daily search volume outpaces the basic HAR for 15 and 18 stocks, respectively. Based on the average MASE improvement, the combination of daily negative tweets and weekly search volume is a clear winner as it lowers the...

No description available.

Na teoria clássica de finanças, o sentimento do investidor não é considerado um fator importante sobre os preços das ações. Embora a existência do sentimento do investidor não seja negada, as teorias normalmente partem do princípio de que, em mercados financeiros competitivos, comportamentos de agentes quase-racionais são rapidamente eliminados. Esta tese tem o objetivo de investigar a relação entre o sentimento de mercado e as taxas de retorno futuras das ações. É proposta uma metodologia para a criação de um índice de sentimento específico para o mercado brasileiro com uso da análise de componentes principais. Com o objetivo de verificar a relação deste índice de sentimento com as taxas de retorno das ações, foi estimado um modelo de apreçamento em que esta variável foi incluída, para o período de 1999 a 2008. A amostra foi composta por empresas não-financeiras com ações listadas na BOVESPA, com uma negociabilidade mínima que garantisse observações suficientes e representativas para validar os resultados encontrados na pesquisa. O modelo de apreçamento foi estimado por GMM, levando em consideração o índice de sentimento de mercado, o risco sistêmico das empresas (medido pelo beta) e fatores como tamanho, índice market-to-book, alavancagem, momentum e crescimento da receita. Empregaram-se diferentes procedimentos para estimar os parâmetros dos modelos empíricos formulados, com o propósito de isolar influências espúrias, ocasionadas pela presença de heterogeneidade não-observada, pela existência de eventuais observações extremas ou mesmo pela possível endogeneidade dos regressores. Os resultados deste estudo empírico sugerem que o sentimento é um fator relevante no apreçamento das ações no mercado brasileiro. A relação negativa e significante entre o índice de sentimento e as taxas de retorno, encontrada consistentemente em diferentes modelos, indica um padrão de reversão nas taxas de retornos, ou seja, após um período de sentimento positivo, o impacto nas taxas de retorno no período seguinte é negativo, e vice-versa. / In classical finance theory investor sentiment is not considered an important factor in asset pricing. Although the existence of investor sentiment is not denied, theories assume that in competitive markets quasi-rational behavior is quickly offset by rational agents. The main goal of this thesis is to investigate the relationship between investor sentiment and future stock return rates. It is proposed a methodology to create a sentiment index specifically to the Brazilian market using principal components analysis. In order to analyze the relationship between this sentiment index and the future stock returns, it was estimated a pricing model including this variable for the period comprehending 1999 to 2008. Considering a negotiability restriction to assure representative and sufficient observations to validate a pricing model, the sample consisted of non-financial firms listed at BOVESPA. The pricing model was estimated by GMM considering the sentiment index, systematic risk (market beta) and factors as firm size, market-to-book ratio, leverage and return predictability measured by momentum or income growth. Different estimation procedures were applied to find empirical models coefficients which are less affected by spurious influence such as unobserved heterogeneity, outliers or possible regressors endogeneity. Results of the empirical study suggest that sentiment is a relevant factor in Brazilian asset pricing models. A negative and statistically significant relationship between the sentiment index and stock returns was consistently found in different models specifications. These findings suggest the existence of a reversion pattern in stock returns, meaning that after a positive sentiment period, the impact on subsequent stock returns is negative and vice-versa.

The main purpose of this paper is to investigate the effect (if any) of investor sentiment on asset prices. To calibrate the ability of various market sentiment variables in forecasting stock returns, we followed the recursive regression methodology by Pesaran and Timmermann (1995,2000), taking into account the influences of regime switches on trading decisions of investors in real time. Our results suggest that stock returns may be difficult to predict when stock market is relatively unstable and investors are unsure of which forecasting model to be employed for trading strategies. This finding is not consistent with the empirical results of Pesran and Timmermann (1995). We also find that net buy (sell) of investment trusts and security dealers become in a close relation with stock returns after 1998, implying that institutional investors seem to reasonably capture the sentiment of the market and their trading strategies may reflect information asymmetries between managers and investors.

Na teoria clássica de finanças, o sentimento do investidor não é considerado um fator importante sobre os preços das ações. Embora a existência do sentimento do investidor não seja negada, as teorias normalmente partem do princípio de que, em mercados financeiros competitivos, comportamentos de agentes quase-racionais são rapidamente eliminados. Esta tese tem o objetivo de investigar a relação entre o sentimento de mercado e as taxas de retorno futuras das ações. É proposta uma metodologia para a criação de um índice de sentimento específico para o mercado brasileiro com uso da análise de componentes principais. Com o objetivo de verificar a relação deste índice de sentimento com as taxas de retorno das ações, foi estimado um modelo de apreçamento em que esta variável foi incluída, para o período de 1999 a 2008. A amostra foi composta por empresas não-financeiras com ações listadas na BOVESPA, com uma negociabilidade mínima que garantisse observações suficientes e representativas para validar os resultados encontrados na pesquisa. O modelo de apreçamento foi estimado por GMM, levando em consideração o índice de sentimento de mercado, o risco sistêmico das empresas (medido pelo beta) e fatores como tamanho, índice market-to-book, alavancagem, momentum e crescimento da receita. Empregaram-se diferentes procedimentos para estimar os parâmetros dos modelos empíricos formulados, com o propósito de isolar influências espúrias, ocasionadas pela presença de heterogeneidade não-observada, pela existência de eventuais observações extremas ou mesmo pela possível endogeneidade dos regressores. Os resultados deste estudo empírico sugerem que o sentimento é um fator relevante no apreçamento das ações no mercado brasileiro. A relação negativa e significante entre o índice de sentimento e as taxas de retorno, encontrada consistentemente em diferentes modelos, indica um padrão de reversão nas taxas de retornos, ou seja, após um período de sentimento positivo, o impacto nas taxas de retorno no período seguinte é negativo, e vice-versa. / In classical finance theory investor sentiment is not considered an important factor in asset pricing. Although the existence of investor sentiment is not denied, theories assume that in competitive markets quasi-rational behavior is quickly offset by rational agents. The main goal of this thesis is to investigate the relationship between investor sentiment and future stock return rates. It is proposed a methodology to create a sentiment index specifically to the Brazilian market using principal components analysis. In order to analyze the relationship between this sentiment index and the future stock returns, it was estimated a pricing model including this variable for the period comprehending 1999 to 2008. Considering a negotiability restriction to assure representative and sufficient observations to validate a pricing model, the sample consisted of non-financial firms listed at BOVESPA. The pricing model was estimated by GMM considering the sentiment index, systematic risk (market beta) and factors as firm size, market-to-book ratio, leverage and return predictability measured by momentum or income growth. Different estimation procedures were applied to find empirical models coefficients which are less affected by spurious influence such as unobserved heterogeneity, outliers or possible regressors endogeneity. Results of the empirical study suggest that sentiment is a relevant factor in Brazilian asset pricing models. A negative and statistically significant relationship between the sentiment index and stock returns was consistently found in different models specifications. These findings suggest the existence of a reversion pattern in stock returns, meaning that after a positive sentiment period, the impact on subsequent stock returns is negative and vice-versa.

Cette thèse étudie plusieurs aspects de la dynamique du rendement des actifs. Les trois premiers chapitres ont pour objet la formation des prix sur le marché de l'art. Le premier chapitre établit que les prix peuvent s'écarter temporairement, et de manière partiellement prévisible, de la valeur fondamentale. Cet article a été publié dans Economics Letters (Volume 122, Issue 3, pp. 432-434) et a été écrit avec Christophe Spaenjers et Luc Renneboog. Le chapitre 2 étudie la vitesse de transmission de l'information dans les prix agrégés du marché de l'art. Le chapitre 3 analyse la corrélation entre prix et volume et étaye des éléments concordant avec une hypothèse de bulles. Il a été écrit avec Luc Renneboog. Le chapitre 4 s'attache à la modélisation empirique de la prédictibilité d'indices boursiers sur quinze pays industrialisés. Il propose de combiner l'information donnée par chaque pays de façon à améliorer le pouvoir prédictif. / The doctoral thesis studies several aspects of asset returns dynamics. The first three chapters focus on returns in the fine art market. The first chapter provides evidence for the existence of a slow-moving fad component in art prices that induces short-term return predictability. The article has been published in Economics Letters (Volume 122, Issue 3, pp. 432-434), and was written together with Christophe Spaenjers and Luc Renneboog. Chapter 2 investigates how fast is information incorporated into aggregate art prices. Chapter 3 studies price-volume dynamics in the art market and documents evidence of bubble patterns in prices and is written with Luc Renneboog. Chapter 4 proposes a Bayesian estimation procedure that makes efficient use of cross-sectional information, and revisits the return predictability literature.

The role of Institutional investors in alleviating the agent problem of management and its valuation effect has been studied extensively in corporate finance. We complement this stream of research by exploring management's control over institutional investors with misaligned objectives, particularly public pension fund, and the consequential valuation effect. We investigate the politic motive of public pension fund's shareholder activism and its impact on the target firms' operational performance, address the control of a strong management on public pension funds' self-serving agenda, and finally we compare the ownership adjustment pattern of public pension funds to other institutional investors to conclude public pension funds' ownership adjustment reflects their private pursuit. The first chapter explores the politic facet and performance effect of shareholder activism sponsored by public pension fund. In this study, we show that having a public pension fund as the leading sponsor of a shareholder proposal significantly improves the proposal's likelihood of being accepted by the target firm. The increased acceptance rate sources from the subset of proposals addressing a social responsibility issue, and targeting firms with weak insider control. An investigation of the public pension board reveals that the board's political profile is the primary determinant of public pension fund's propensity to lead a proposal, and the target firm's acceptance rate. We also assess the performance impact of shareholder proposals. For target firms with strong insider control, the performance impact of accepted social responsibility proposals is significantly positive; that of governance proposals is negligible. For target firms with weak insider control, the performance impact associated with public pension funds is either negative or negligible. These results suggest that the motive driving public pension funds' dominant presence in shareholder activism is not market based, but laden with purpose other than value creation. In the second chapter, we postulate that the widely documented negative valuation effect of ownership by public pension will be weak on firms with extra managerial control mechanism and/or whose managerial ownership of cash flow is high. For firms with high level managerial ownership of cash flow, management bears higher cost for a concession made with public pension fund's misaligned objective. An efficient market will expect this effect and value the managerial control over public pension fund to the extent that the management's benefit is aligned with outside shareholders. Consequently, the cross section valuation difference of firms held by public pension funds can be explained by the managerial ownership of cash flow, managerial control derived from extra mechanism such as dual class share, however, has no explanative power. The last chapter investigates the link between private benefits and institutional holding change. We assume the cross section equilibrium of block holding will break when market sentiment is high. Consequently, block holder tends to shed more shares loaded with less private benefits by taking advantage of opportunities available in a high sentiment market. The empirical results support this conjecture. When the market sentiment is high, Institutional block holders tend to shed more private benefits meager dual-class share than private benefits affluent non-dual class share. This pattern does not exist when the market sentiment is low. Most importantly, public pension fund is identified as the major driver of this effect. / Business Administration

美國存託憑證(American Deposit Receipt，ADR)對美國投資人而言是進入外國市場最簡便的方式之一，因為它以美金計價且在美國交易。發行ADR可以使公司的知名度提高，增加股票的流動性，進而提高股票價格。 有些國家對外資設有投資上限，使外資投資不易或投資成本太高，造成投資障礙。透過購買美國存託憑證可以持有表彰外國公司股份的股權，為投資人帶來收益且達到風險分散效果。亞洲地區為發行美國存託憑證最多的地區，本研究選取了九個新興國家以及日本企業所發行的ADR為研究樣本，探討三個問題：美國存託憑證價格的折（溢）價是否有資訊內涵、美國存託憑證的折(溢)價是否受到美國市場情緒影響以及發行ADR後，本國市場的股票訂價效率是否改善。 研究結果發現，多數ADR折（溢）價的資訊內涵為正向且顯著，意即，今日美國存託憑證的折（溢）價透露出隔日標的股票報酬率的訊息。顯示美國存託憑證存在溢價，不只反應外國政府設立的投資障礙或是外國股票的交易成本過高，還透露出對隔日標的股票報酬率的預期。 美國存託憑證雖然表彰的是外國公司的股權，但卻是在美國交易。ADR的價格不只反應出與標的股票本身的價值，可能還受美國市場情緒影響。本研究的實證結果支持ADR價格受到美國市場情緒影響的論點。表示投資人在選擇美國存託憑證投資標的時，除了要對公司進行合理的評價，也要將美國市場的表現納入考慮。 本研究的研究樣本為九個新興國家以及日本，開發中國家可能對外資設有投資限制且市場資訊效率不高，造成股票的訂價未完全反應其真實價值。海外上市後，更多投資人參與交易，市場資訊環境改善，本國市場的股票訂價效率應該因此提升；過去探討海外上市公司的外國市場價格與本國市場價格間共整合過程的文獻，多以一階自我相關為基礎所發展出來的模型進行實證且未除去市場效率改善帶來的影響。使用一階自我相關為基礎的模型時，須假設樣本為常態分配，但股票報酬的分配很可能不符合常態分配，導致實證結果有偏誤；本研究以無母數連檢定(Run Test)進行實證並除去同時期市場效率改善的影響。究實證結果顯示，股票報酬率在海外上市後變得更為隨機，可預測性降低，表示資訊環境改善明顯有助於股票價格反應其真實價值。 / American Deposit Receipt (ADR) is one of the most convenient ways for U.S. - based investors to acquire foreign shares since ADRs are quoted in U.S. dollars and are traded in the U.S. markets. Foreign investors have difficulty in acquiring foreign shares because of investment limit or high transaction cost. ADRs issued by companies from nine emerging countries in Asia and Japan were picked as sample data to verify the information content and U.S. market sentiment issues. The empirical result for information content is significant and positive. ADR premium (discount) today reveals information that the return of the underlying stock tomorrow will be positive (negative). ADRs are foreign shares but are traded in the U.S. markets. ADR price may not only contain its intrinsic value but also U.S. market sentiment. The empirical result supports that argument. The result reminds investors that in addition to appropriate valuation of a company, the reaction of other investors in the same market should be taken into account. Employ a simple non-parametric test and control for contemporaneous marketwide efficiency shifts and the potential contamination from the price effect of cross-listing announcement, the empirical result demonstrated that with improvement of informational environment, stock pricing efficiency was enhanced after cross-listing.