In this paper, we are interested in continuous time models in which the index level induces some feedback on the dynamics of its composing stocks. More precisely, we propose a model in which the log-returns of each stock may be decomposed into a systemic part proportional to the log-returns of the index plus an idiosyncratic part. We show that, when the number of stocks in the index is large, t...

"Attention is a scarce cognitive resource" − Daniel Kahneman. Literature on attention and its asset pricing implications suggests that people pay attention to stocks that appear in the media and people tend to buy attention-grabbing stocks. Stock recommendations from the TV show Mad Money and Wall $treet Week have proven to catch people’s attention and create price pressure on the stocks recomm...

Many empirical studies document the value effect. One explanation is that investors overreact to growth aspects for growth stocks. We apply Stein's (1989) method to investigate whether the degree of overreaction differs between value and growth stocks using the implied volatility from option prices. A finding of overreaction for either value stocks or growth stocks would lend support to overrea...

In this work, we present our findings and experiments for stock-market prediction using various textual sentiment analysis tools, such as mood analysis and event extraction, as well as prediction models, such as LSTMs and specific convolutional architectures.

Recent research has demonstrated that some households cut back on expenditures in an unemployment spell. Moreover, some of these households respond to variation in the transitory income provided by unemployment insurance benefits. This suggests that these households are constrained in the sense that they respond to variations in current income even if these do not have any permanent impact. In ...

The EU last month announced its allowable quotas for various species within its waters for this coming year that fishermen will be able to land and sell. The aim behind the quotas is to limit fishing in an effort to preserve stocks at sustainable levels, but the policy is being shown increasingly to be damaging many stocks, caught by fishermen pursuing one species but catching others, which oft...

This paper investigates the individual investor trading in both closed-end funds and individual stocks. By examining the short-horizon dynamic relation between net individual investor trading of closed-end funds and the fund discounts, we find evidence consistent with the notion that both the level and the changes in close-end fund discounts are good proxies for individual investor sentiment. U...