Weibo sentiments and stock return: A time-frequency view

Weibo sentiments and stock return: A time-frequency view

This study provides new insights into the relationships between social media sentiments and the stock market in China. Based on machine learning, we classify microblogs posted on Sina Weibo, a Twitter's variant in China into five detailed sentiments of anger, disgust, fear, joy, and sadness. Using wavelet analysis, we find close positive linkages between sentiments and the stock return, which h...

Time-Varying Risk Premia and Stock Return Autocorrelation

Autocorrelation in stock returns is one important measure of the efficiency of securities markets pricing. Autocorrelation may be a sign of genuine pricing inefficiency: partial price adjustment (PPA), in which trades occur at prices that do not fully reflect the available information. However, autocorrelation may also arise from three other sources: bid-ask bounce (BAB), nonsynchronous trading...

Advertising Spending and Stock Return

The paper investigates one important aspect of long-term investor response to marketing actions, namely, the relationship between advertising spending and stock return. We hypothesize that advertising can have a direct effect on valuation, i.e. an effect over and above its known impact on revenue and profit response. The empirical results in two industries support our hypothesis and quantify th...

Exploring relation between Indian market sentiments and stock market returns

Stock Return Predictability in a Monetary Economy

In an economy where agents hold money, the short interest rate determines the trade-off between money holdings and consumption. Building on this idea, we develop a theoretical model that shows the transmission mechanism through which the short rate finds its way to stock-return predictability regressions. We construct a cointegration relation that links share prices and dividends to the short i...