Three Essays on Stock Indices and Their Contingent Claims
Author | : Howard Steven Stern |
Publisher | : |
Total Pages | : 202 |
Release | : 1983 |
Genre | : |
ISBN | : |
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Author | : Howard Steven Stern |
Publisher | : |
Total Pages | : 202 |
Release | : 1983 |
Genre | : |
ISBN | : |
Author | : Andrew C. West |
Publisher | : |
Total Pages | : 602 |
Release | : 2000 |
Genre | : Stock exchanges |
ISBN | : |
Author | : |
Publisher | : |
Total Pages | : 129 |
Release | : 1990 |
Genre | : |
ISBN | : |
Author | : Alexander Kurov |
Publisher | : |
Total Pages | : 141 |
Release | : 2004 |
Genre | : Futures |
ISBN | : |
Author | : Anne Fremault |
Publisher | : |
Total Pages | : 258 |
Release | : 1990 |
Genre | : |
ISBN | : |
Author | : Shane K. Clark |
Publisher | : |
Total Pages | : 0 |
Release | : 2015 |
Genre | : |
ISBN | : |
Essay 3 investigates the relation between proxies for investor sentiment and stock market crises and recoveries on international indices. Using an Early-Warning-System (EWS) model, the essay examines whether investor sentiment is a useful predictor for the occurrence of stock market crises and early signs of recovery. Three alternative proxies are used to measure investor sentiment, including previously cited measures of stock market riskiness, investors' risk aversion and investors' optimism about stock markets. The results show that investor sentiment is overall a significant predictor of the occurrence of crises within a one year period, and that the addition of sentiment into early warning signal models of stock market crises can improve the predictive performance of the model (increases in investor sentiment increase the probability of occurrence of a crisis, which is in line with previous contributions finding a negative lead-lag relation between sentiment and stock returns). The extension of the model to early signs of recoveries also shows that sentiment is a reliable predictor. The measure of stock market riskiness (Baker and Wurgler, 2006) is found to be a better predictor than the Volatility Index (VIX) and the Put-to-Call Ratio (PCR). The cross-country comparison results confirms the literature findings that the link between sentiment and stock market returns varies across indices and cultures, as the predictive power of the variable appears strongest in the French and U.S. indices.
Author | : |
Publisher | : |
Total Pages | : 978 |
Release | : 1989 |
Genre | : Dissertations, Academic |
ISBN | : |
Author | : |
Publisher | : |
Total Pages | : 776 |
Release | : 2001 |
Genre | : Dissertation abstracts |
ISBN | : |
Author | : Gordon Delianedis |
Publisher | : |
Total Pages | : 326 |
Release | : 2000 |
Genre | : Credit |
ISBN | : |
Author | : Jacques Drèze |
Publisher | : CUP Archive |
Total Pages | : 460 |
Release | : 1990-05-25 |
Genre | : Business & Economics |
ISBN | : 9780521386975 |
Professor Dreze is a highly respected mathematical economist and econometrician. This book brings together some of his major contributions to the economic theory of decision making under uncertainty, and also several essays. These include an important essay on 'Decision theory under moral hazard and state dependent preferences' that significantly extends modern theory, and which provides rigorous foundations for subsequent chapters. Topics covered within the theory include decision theory, market allocation and prices, consumer decisions, theory of the firm, labour contracts, and public decisions.