Comparing portfolio performance is complex due to the fact that each model dominant in its own risk space. Since there no single measure, research problem how incorporate several different measures into a evaluation allows portfolios be ranked. In this regard, objective of study was develop new comprehensive method for comparing based on multiple-criteria decision-making (MCDM). This paper prop...

"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...

We examine whether the option market leads stock with respect to positive in addition negative price discovery. document that out-of-the-money (OTM) prices, which determine Risk-Neutral Skewness (RNS) of underlying return’s distribution, can embed information regarding stock. A long-only portfolio stocks highest RNS values yields a significant alpha post-ranking week during period 1996–2014. Th...

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 ...

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...