Individual Sentiment Research Articles

Market sentiment dispersion and its effects on stock return and volatility

Behavioral economics has revealed that investor sentiment can profoundly affect individual behavior and decision-making. Recently, the question is no longer whether investor sentiment affects stock market valuation, but how to directly measure investor sentiment and quantify its effects. Before the era of big data, research uses proxies as a mediator to indirectly measure investor sentiment, which has proved elusive due to insufficient data points. In addition, most of extant sentiment analysis studies focus on institutional investors instead of individual investors. This is despite the fact that United States individual investors have been holding around 50% of the stock market in direct stock investments. In order to overcome difficulties in measuring sentiment and endorse the importance of individual investors, we examine the role of individual sentiment dispersion in stock market. In particular, we investigate whether sentiment dispersion contains information about future stock returns and realized volatility. Leveraging on development of big data and recent advances in data and text mining techniques, we capture 1,170,414 data points from Twitter and used a text mining method to extract sentiment and applied both linear regression and Support Vector Regression; found that individual sentiment dispersion contains information about stock realized volatility, and can be used to increase the prediction accuracy. We expect our results contribute to extant theories of electronic market financial behavior by directly measuring the individual sentiment dispersion; raising a new perspective to assess the impact of investor opinion on stock market; and recommending a supplementary investing approach using user-generated content.

براہوئی خلقی شاعری او پہوالی زند

Society is very important for livelihood of a man life. In which he encircles under the code and ethics of such society as such nation can be called as nation when they understand rules and regulations of their living style. But the history of nation builds when it folk literature build up. How they lived their life? How they scheduled their livelihoods. How they made easiness in their lives? How their thinking expanded? Understanding all this question, the study of folk literature is crucial the basic nomadic life can be come in mind through the study of folk literature. Now days the folk literature defines the honesty of their simple people through it study. We can able to know it basics. the folk poetry is most valuable part of literature, which beautifully describes the individual sentiments, feelings, grief's and sorrows, social ups and downs, of a common nomadic. we can call the Brahui folk poetry is the real mirror image of nomadic life, simple we can say the folk poetry displays all angels of social life of nomadic and still it persists with it impotence.

ULM: A user-level model for emotion prediction in social networks

Users express their emotions in online social networks (OSNs). Studying emotions is important for understanding user behaviors. Existing methods in emotion prediction mainly use personal emotion and friend emotion to predict target emotion. In this study, public sentiment is introduced to denote the sentiment of the majority in the network. Public conformity is calculated to measure the degree of a user conforming to the public sentiment. According to the public conformity, users are categorized into three classes: Approvers, independents, and starters. A user-level model for emotion prediction is proposed to predict target emotions of different classes of users, taking into account of the public sentiment, individual sentiment, friend sentiment and pseudo-friend sentiment. Relations between the public conformity and the structure of the network are studied. Experiments conducted on Sina Weibo show that the proposed model could achieve performance improvements to some existing methods in most cases.

The Liquidity Crisis, Investor Sentiment, and REIT Returns and Volatility

Executive SummaryThe real estate investment trust (REIT) industry experienced a liquidity crisis resulting from reduced access to credit commitments as banks were restoring their balance sheets during the 2007–2009 financial crisis. Employing generalized autoregressive conditional heteroscedasticity (GARCH) models, we examine the impact of the liquidity crisis and investor sentiment on REIT returns and volatility over the December 2001 to February 2013 period. We find that the liquidity crisis negatively impacts REIT returns and helps explain increases in volatility; this finding is robust to multiple specifications. We show that investor sentiment is a significant factor in the REIT return-generating process with institutional sentiment playing a dominating role over individual sentiment; furthermore, institutional sentiment was the only relevant sentiment variable during liquidity crisis.

Examining the sentiment-return relationship in European real estate stock markets

Purpose– Recent studies in the field of behavioral finance have highlighted the importance of investor sentiment in the return-generating process for general equities. By employing an asset pricing framework, this paper aims to evaluate the performance of European real estate equities, based on their degree of sentiment sensitivity.Design/methodology/approach– Using a pan-European data set, we classify all real estate equities according to their sentiment sensitivity, which is measured relative to the Economic Sentiment Indicator (ESI) of the European Commission. Based on their individual sentiment responsiveness, we form both a high- and low-sensitivity portfolio, whose returns are included in the difference test of the liquidity-augmented asset pricing model. In this context, we analyze the performance of sentiment-sensitive and sentiment-insensitive real estate equities with a risk-adjusted perspective over the period July 1995 to June 2012.Findings– While high-sensitivity real estate equities yield significantly higher raw returns than those with low-sensitivity, we find no evidence of risk-adjusted outperformance. This indicates that allegedly sentiment-driven return behavior is in fact merely compensation for taking higher fundamental risks. In this context, we find that sentiment-sensitive real estate equities are exposed to significantly higher market risks than sentiment-insensitive ones. Based on these findings, we conclude that a sentiment-based investment strategy, consisting of a long-position in the high-sensitivity portfolio and a short-position in the low-sensitivity one, does not generate a risk-adjusted profit.Research limitations/implications– Although this study sheds some light on investor sentiment in European real estate stock markets, further research could usefully concentrate on alternative sentiment proxies.Originality/value– This is the first study to disentangle the relationship between investor sentiment and European real estate stock returns.

An examination of U.S. institutional and individual investor sentiment effect on the Turkish stock market

This study examines the effect of rational and irrational components of U.S. institutional and individual investor sentiment on Istanbul Stock Market (ISE) return and volatility. The results show that there is a significant spillover effect of U.S. investor sentiment on stock return and volatility of ISE. A breakdown of sentiment by the type of investor shows that the impact of institutional sentiment is greater than that of individual sentiment. A breakdown of sentiment by rationality shows that the effect of rational sentiment on ISE return is faster though not necessarily greater than that of irrational sentiment. The conclusion from these results is that the effect of U.S. investor sentiment is systemic and cannot be diversified away. U.S. investor sentiment, therefore, constitutes a priced risk factor and must be accounted for accordingly in international asset pricing models. The findings also provide some evidence of a negative relationship between U.S. investor sentiment and ISE return volatility.

AN IN-MEMORY APPROACH TO SENTIMENT ANALYSIS BASED ON SAP HANA

Sentiment analysis (SA) is one of a number of fields in which big requires processing. The term refers to the feelings, beliefs, emotions, and opinions that people express in relation to certain matters in written form, more often than not in online media such as social networks. Sentiment analysis can provide enterprises with valuable insights into, for example, how customers regard their products. When sentiments are collected from social networks over a period of time, the amount of data can indeed be big. This paper describes and evaluates a lexicon-based SA solution, implemented as a prototype using SAP HANA. Sentiments are collected from Facebook and Google+, using a combination of tools including Microsoft Excel and the Power Query add-on to Excel. As HANA employs in-memory database technology, the calculation of values will be very fast. As a result of the analysis, five categories (from strong negative to strong positive), plus a category sentiment not found, are filled with individual sentiments and, with the help of business intelligence tools, evaluated as well. SA results are made available on a user interface created using SAP's current interface technology, SAPUI5.

براہوئی خلکی شیئرباگل آتیٹی پہوالی زندنا دروشم

The main objective of this article displays the background of Brahui folk music which tells thousand years historical prospective of nomadic life style and the development of their musical skills. Their honesty and affections natural beauty with complete source of information. The importance, impacts, necessity and values which portrays the basics of nomadic life. These all are composed of social life, living standards, sorrows and happiness, family and groups, tent (Gidán), migration and encampment, love and affection, patriotism, mother land and abroad, herd of camels and sheep, agriculture and farming, changing of weathers, characters, beliefs and ethics, hospitality and honesty, health and illness, entertainment, hardworking, brevity and cowardice. Include all these the protection of mother tongue is displayed in nomadic living style and respect of each individual sentiment in the Brahui folk music. In this context disciplinary code of life can be clearly imagined. The Brahui folk music visualizes the complete background of nomadic life with melodies.

Noise traders and the rational investors: a comparison of the 1990s and the 2000s

Purpose – The purpose of this paper is to compare and contrast the effect of individual and institutional sentiments on the US stock returns during a prolonged bull phase of ten years in the 1990s compared to shorter boom and bust cycles of the 2000s. The study is focussed on a set of stocks that are prone to sentiments and speculations. Design/methodology/approach – To compare the dynamic interaction of individual and institutional sentiments and stock returns, the authors use the vector autoregression (VAR) approach. The VAR model has proven to be especially useful for describing the dynamic behavior of economic and financial time series because it does not impose a priori restriction on the structure of the system. Using impulse response function, the authors determine how stock returns respond over time to a shock in institutional and individual sentiments. Findings – The authors find that sentiments of individual investors can affect returns mostly when there is a prolonged upward trend in stock prices, while sentiments of institutional investors can impact the returns when stock market is more volatile. Originality/value – This paper compares the effect of noise traders and rational investors’ sentiment on stock returns during the persistent period of positive abnormal returns of the 1990s and the more volatile stock returns of the 2000s.

The role of emotions in the maintenance of cooperative behaviors

Our attention is focused on how individual emotions influence collective behaviors, which captures an aspect of reality missing from past studies: free riders may suffer some stress, which could adapt jointly with the individual stress intensity and size of the gaming group. With an evolutionary game theoretical approach, we gain the fixation probability for one mutant cooperator to invade and dominate the whole defecting population. When the stress intensity exceeds a threshold, natural selection favors cooperators replacing defectors in a finite population. We further infer that lower stress intensity is sufficient for one mutant cooperator to become fixed with an advantageous probability in a larger population. Moreover, when the gaming group is smaller than the population size, the more the return from the public goods, the lower the threshold of stress intensity required to facilitate the full dominance of cooperators. We hope our studies may show that individual sentiments or psychological activities will open up novel explanations for the puzzle of collective actions.

Excess Comovement and Individual Investors: Direct Evidence from China's Bank Stocks

This paper investigates how individual investor trading can cause stock prices to move for reasons unrelated to fundamentals. We use a sample of dual-listed stocks to identify the sources of their price movements. The results show that excess price comovement driven by the market-specific shock is persistent over the monthly horizon for some A-shares traded in China, but not for their H-shares traded in Hong Kong. Further trade-based analysis indicates that the market-specific shock to the A-shares' prices may be initiated by individual sentiment changes, as proxied by the buy-sell imbalance (BSI) of individual investors (except the wealthiest individuals), but the mechanism for its persistence must be an indirect one. We then hypothesize and confirm a feedback view that the sentiment-related feedback of sophisticated individuals can strengthen the persistence of sentiment-induced excess volatility. We find that the monthly correlation in daily BSI between two investor groups, the wealthiest individuals and all individuals, is positively related to the shock at the monthly frequency. Meanwhile, the BSI of the wealthiest individuals is negatively related to the shock’s magnitude, suggesting that their trading behavior cannot be explained by an unawareness of the documented excess comovement but can be explained as the risk averse behavior of sophisticated investors. Our evidence and interpretation suggest that individual investors are more than a simple carrier of noise trading, and they can contribute to market inefficiency not only through individual irrationality, but also through individual rationality. We use the feedback view to shed light on several cross-country empirical anomalies.

Noise trading and stock returns: evidence from China

PurposeThe purpose of this paper is to analyze the trading behaviors of retail investors and investigate their impacts on stock returns.Design/methodology/approachAs retail investors are considered as the main noise traders in the capital market, using the trading records of Chinese retail investors from 2005 to 2009, the authors study their trading preferences and the correlation of their trades. Then, they use a multifactor model to test whether the co‐movement of stock returns could be explained by individual sentiment.FindingsThe authors' results show that the small‐cap stocks are obviously preferred by retail investors. Meanwhile, the net stock demands of retail investors are systematically correlated, even when the effect of market risk is excluded. In the perspective of the net stock demands, the authors use BSI to measure the individual sentiment, finding that individual sentiment plays an important role in the formation of the cross‐section of stock returns. However, the authors' results imply that BSI is a reverse indicator to predict the future returns, which implies that the trading behaviors of retail investors are irrational.Originality/valueConsistent with behavioral theory, the authors' findings support the viewpoint that stock returns could be affected by the systematic correlated trading of retail investors. To some extent, their findings highlight the need to know more details of individual investors' trading behaviors through which the fluctuations of asset prices can be better understood.

Does Individual Stock Sentiment impact stock returns?

Does Individual Stock Sentiment impact stock returns?

Forever a fan: Reflections on the branding of death and the production of value

This article explores how the branding of death among ‘die-hard’ fans involves the production and articulation of multiple forms of value. Specifically, it asks: how do corporations attempt to increase their profits by harvesting the individual and collective sentiments of fans during mortuary rituals? What kind of work do branded funeral products do for die-hard fans? How might the branding of death facilitate new forms of remembering and even enable the deceased to remain in circulation among the living? It is argued that while the branding of death clearly enables corporations to augment their profits by appropriating the emotional investments of fans, it may also provide fans with a novel mechanism for expanding their own value by extending their remembered presence across space and time after death. This argument is developed in three movements. First, I engage with some of the recent literature on branding and value co-creation in the new economy. Then I draw upon studies of fan consumption to consider the forms of identification that animate the relationship between fans and brands. In the third section of the paper I explore the appeal of branded funeral products by returning to some anthropological writings on value transformation and gift exchange. The article concludes by considering what the branding of death reveals about the relations between consumption, identity, and memorialization within the context of contemporary capitalist society.

What’s Not There: The Odd-Lot Bias in TAQ Data

We investigate the systematic bias that arises from the exclusion of trades for less than 100 shares from TAQ data. In our sample, we find that the median number of missing trades per stock is 19%, but for some stocks missing trades are as high as 66% of total transactions. Missing trades are more pervasive for stocks with higher prices, lower liquidity, higher levels of information asymmetry and when volatility is low. We show that odd lot trades contribute 30 % of price discovery and trades of 100 shares contribute another 50%, consistent with informed traders splitting orders into odd-lots and smaller trade sizes. The truncation of odd-lot trades leads to a significant bias for empirical measures such as order imbalance, challenges the literature using trade size to proxy individual trades, and biases measures of individual sentiment. Because odd-lot trades are more likely to arise from high frequency traders, we argue their exclusion from TAQ and the consolidated tape raises important regulatory issues.

Strategies and attributes of highly productive scholars and contributors to the school psychology literature: Recommendations for increasing scholarly productivity

In all academic fields, there are scholars who contribute to the research literature at exceptionally high levels. The goal of the current study was to discover what school psychology researchers with remarkably high levels of journal publication do to be so productive. In Study 1, 94 highly productive school psychology scholars were identified from past research, and 51 (39 men, 12 women) submitted individual, short-answer responses to a 5-item questionnaire regarding their research strategies. A constant comparative approach was employed to sort and code individual sentiments ( N = 479) into categories. Seven broad categories of counsel for increasing productivity emerged: (a) research and publication practices and strategies, (b) collaboration, mentoring and building relationships, (c) navigating the peer-review process, (d) strategies to bolster writing productivity and excellence, (e) personal character traits that foster productivity, (f) preparation before entering the professoriate, and (g) other noteworthy sentiments. Results are discussed in terms of nine recommendations for scholars and graduate students who wish to increase their productivity. In Study 2, five of the most productive scholars (1 woman, 4 men) participated in a semi-structured interview about their high levels of productivity. Interviews were recorded, transcribed, and analyzed, and a case analysis approach employed to profile each scholar. Study limitations and suggestions for future research are discussed.

Human Trafficking in Western Europe: A Comparative Public Opinion Study of Fifteen Nations

Academic interest in human trafficking has been surging in the past decade. Empirical studies of the problem are still scarce and non-systematic. In the present manuscript, I explore public opinion about human trafficking in 15 West European democracies, which, for the most part, are final destinations for the trafficking victims. How aware of the issue are the publics of these countries? How concerned are they? What are the sources of their anxiety about human trafficking? I attempt to answer these questions by investigating individual- and system-level factors that could drive public concerns. The findings suggest that attitudes towards immigration and gender play a significant role for individual sentiments about trade in persons. Among national variables, a country’s wealth and certain legislative efforts to combat human trafficking explain some variation in the dependent variable.

Investor Sentiment and Value and Growth Index Options

This paper examines the relationship between investor sentiment and stock index options. More specifically, it investigates the contrasting impact of individual and institutional investor sentiment on value and growth stock options. We take the Nasdaq 100 and Russell 2000 Growth indexes as proxies for growth portfolios and the Michigan Consumer Confidence Index as a proxy for individual sentiment. The findings show that individual sentiment exerts a significantly positive impact on the risk-neutral skewness of the Nasdaq 100 and Russell 2000 Growth index options while it is unrelated to the risk-neutral skewness of the Russell 2000 Value index option. Our empirical results support the conjecture that options on growth stock indexes are more likely to be affected by individual investor sentiment because proportionally more individual customers trade these contracts as compared with those on value indexes.

A Response to Ben Pitcher's “Obama and the Politics of Blackness: Antiracism in the ‘post-black’ Conjuncture”

This article reflects on the disparities between dominant public discourses that deny the persistence of systemic gendered racism in the post-civil rights era and socio-economic realities that present evidence of the contrary. In a context where mainstream antiracism has reduced racism to a problem of individual sentiment, voting for Obama may have been understood as an act of proving one's antiracism and a vehicle to relinquish the responsibility to redress past injustices. Such appropriations of radical antiracist praxis, as well as the symbolic weight of Obama's election, presents new challenges and possibilities to the future of antiracist praxis.

The Reporting of Self-Esteem in Japan and Canada

Japanese tend to report lower self-esteem than do Westerners. What this behavioral difference indicates about the private sentiments of individuals in Japan and Western countries such as Canada has been earnestly debated in recent years. Consideration of self-esteem ratings as speech acts or performatives shifts the focus of cultural comparison away from the valence of assumed mental representations and onto the pragmatics of agreement with statements of personal value. This alternative framing highlights the importance of performative pressures and other normative considerations in guiding the speech acts whereby self-esteem is typically measured. To support our claim that the self-esteem ratings of Japanese and Canadians are shaped by contrasting performative pressures, we show that explicit instructions designed to offset these pressures predictably raise or lower reported self-esteem. Implications of the results for the meaning and measurement of self-esteem across cultures are discussed.