Συμπεριφορικά υποδείγματα και φυγή προς και από την ποιότητα σε περιόδους ανοδικών και πτωτικών αγορών
Behavioral models and flight from and to quality during bear and bull markets
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Keywords
Συναίσθημα ; Επενδυτικό συναίσθημα ; Δείκτης συναισθήματος ; Μεταβολές συναισθήματος ; Αποδόσεις μετοχών ; Μεταβλητές συναισθήματος ; Sentiment analysis ; Sentiment index ; Sentiment proxiesAbstract
Investor sentiment constitutes a highly appealing field for analysts and
investors, in the area of Behavioral Finance, the last years. Through
challenging classical financial theories, behavioral approaches were born,
which connect observed market anomalies with the investor sentiment, based
on the assumptions of limited arbitrage and the existence of irrational
investors.
In order to analyze the effects of sentiment, firstly we have to measure and
quantify this factor, called «Sentiment». Then, we use this measure, to explain
the sentiment effect on current prices and returns. Lastly, we investigate
whether investor sentiment can be used as a forecast tool for future returns.
Correspondingly to Baker and Wurgler analysis on investor sentiment, this
thesis discusses possible methods of measuring investor sentiment, through
the construction of a composite sentiment index, consisting of several proxies,
and then deals with the sentiment effects on two different stock categories.
Lastly, we examine whether this measured sentiment can predict future
returns of stocks, which are affected by the sentiment.
Postgraduate Studies Programme
Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική και Τραπεζική ΔιοικητικήDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής ΔιοικητικήςNumber of pages
71Language
Greek
Except where otherwise noted, this item's license is described as
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές
Attribution-NonCommercial-NoDerivatives 4.0 Διεθνές