投资者异质、信息搜索与中国基金赎回之谜

基金赎回之谜是中国基金业的特有现象。本文通过构建包含投资者异质性、投资者信息搜索行为两种因素的投资者选择模型,证明了基金赎回之谜的存在,并进一步发现了另一种形式的基金赎回之谜:基金资金净流入与基金收益波动性呈反向关系。在此基础上,本文利用面板数据模型证实了这种赎回异象的存在。     

The short of it: Investor sentiment and anomalies

This study explores the role of investor sentiment in a broad set of anomalies in cross-sectional stock returns. We consider a setting in which the presence of market-wide sentiment is combined with the argument that overpricing should be more prevalent than underpricing, due to short-sale impediments. Long-short strategies that exploit the anomalies exhibit profits consistent with this setting. First, each anomaly is stronger (its long-short strategy is more profitable) following high levels of sentiment. Second, the short leg of each strategy is more profitable following high sentiment. Finally, sentiment exhibits no relation to returns on the long legs of the strategies.     

公司内部治理与投资者保护

公司内部治理是公司投资者保护的重要手段,其中股权结构、董事会制度、经营者激励是组成内部治理的重要要素。本文分析了股权结构、董事会制度和经营者激励与投资者保护的关系,研究了三种关系之间的联系,并指出要统筹考虑三种关系,构建竞争型的大股东股权治理结构,培养机构投资者,完善独立董事制度,推广经营者股票期权制度,切实保护投资者利益。     

对当前国有商业银行改革的战略思考

银行改革的成功与否决定着中国金融改革的成败.国有银行体制转轨的路径选择应该是股权多元化的产权结构改革和放开行业管制的市场结构改革并重的综合改革,当前要警惕其引入战略投资者后强化行业的行政垄断,由"内部人控制"演变成"外部人控制",损害国家金融安全.银行业应该全面对内资(特别是民间投资者)开放,对外资的开放须循序渐进.     

Happiness sentiments and the prediction of cross-border country exchange-traded fund returns

This research examines whether social media (Twitter) happiness sentiment and country-level happiness sentiment indices predict cross-border ETF returns. To account for complicated associations between happiness sentiment and ETF returns, we use a quantile regression approach and find that Twitter and trading market (U.S.) happiness sentiments are strong predictors of future ETF returns, for which both have far greater predictive power than those of their home countries. Home country happiness indices exhibit asymmetric impacts across quantiles, suggesting the importance of trading country (U.S.) and Twitter happiness sentiments. Higher U.S. and home countries’ freedom to make life choices, absence of corruption perception, and confidence in national government precede higher ETF returns, while U.S. GDP, social support, health life expectancy, positive affect, and negative affect precede lower (abnormal) returns. We find that higher return quantile country ETFs provide a safe haven for U.S. investors during a U.S. bear market.     

The impact of German-speaking online media on tourist arrivals in popular tourist destinations for Europeans

This empirical study analyzes the relationship between the sentiments in online media with regard to travel destinations and corresponding tourist arrivals. We expect the media reports on political and economic instability and turmoil to enhance tourist arrival nowcasts and forecasts, as they can probably complement them with information on disruptions and shocks. Therefore, we believe this research will help to build better models for tourism demand nowcasting and forecasting. We use the sentiment in the German-speaking online media because the German-speaking region is the most populated in Europe and has the largest group of travelers visiting destinations in and around Europe.

An artificial neural network is used to analyze the mood of the media. The software classifies news items regarding potential tourist destinations with either positive or negative labels. The number of positive and negative news items is used to build sentiment indices for popular tourist destinations for Europeans.

Our results show strong correlations between the mood concerning tourist destinations and tourist arrivals in these countries. Indeed, disruptions and shocks prevalent in the news are reflected in similar ratios in both tourist arrivals and sentiment indices. These results can be used as a new explanatory variable for tourism demand modelling.     

Testing loss aversion and diminishing sensitivity in review sentiment

This article analyzes the relationship between ratings and review sentiment by introducing, for the first time, the tenets of prospect theory. Specifically, we test loss aversion and diminishing sensitivity on a sample of 132,486 reviews and find that: first, negative deviations in ratings (receiving a service with worse performance than expected) bring about a higher impact on review sentiment than positive deviations of equal magnitude (receiving a service with better performance than expected), thus, confirming loss aversion; and second, regardless of whether the service received is better or worse than expected, variations in ratings closer to the reference point result in higher marginal impacts on sentiment than equivalent variations further away from the reference point, thus, proving diminishing sensitivity. These results have relevant theoretical implications related to the use of relative vs absolute measures and the cognitive bias involved, and managerial implications linked to meeting expectations and service recovery.     

Factors affecting delinquency of household credit in the U.S.: Does consumer sentiment play a role?

In this study, we provide both theoretical and empirical evidence on the determinants of household loan delinquency for home ownership, credit card and auto loans for the U.S. states in a panel framework over a period from 2003 through 2017. In particular, we examine the impact of consumer sentiments on loan delinquency rates. We show that improved current consumer sentiment significantly induce lower mortgage, credit card and automobile loan defaults in the American states subdivided into four different regions. We also find that the higher overall and expected consumer sentiment raise loan delinquencies. Implicit in this finding is the apparently excessive and inappropriate expansion of loans in the U.S. economy in the face of consumers’ optimism, which in turn, provides an intuitive understanding of the circumstances that could precede a depression or outbreak of anomalies in the financial sector. Our general findings further exhibit significant positive effect of unemployment rate and mostly adverse effect of per capita income on mortgage and automobile loan delinquency rates. The results provide some compelling evidence with regard to the effect of consumer confidence on household credit delinquency rates across various states in the U.S. and are robust to alternative measures of income and mortgage rates.     

The momentum and reversal effects of investor sentiment on stock prices

In this paper, we illustrate the real function relationship between the stock returns and change of investor sentiment based on the nonparametric regression model. The empirical results show that when the change of investor sentiment is moderate, the stock return is positively correlated with the change of investor sentiment, presenting an obvious momentum effect. However, the stock return is negatively correlated with the change of investor sentiment if the change of investor sentiment is dramatic, presenting significant reversal effects. Moreover, the degree of reversal effect caused by extremely optimistic sentiment is greater than that driven by extremely pessimistic sentiment, which shows a significant asymmetry. Our findings offer a partial explanation for financial anomalies such as the mean reversion of stock returns, the characteristic of slow rise and steep fall in China's stock market and so on.     

Trading behaviour connectedness across commodity markets: Evidence from the hedgers’ sentiment perspective

This paper analyses the connectedness network for commercial traders’ sentiment across agriculture, energy, metals and livestock futures markets. The findings find that: (a) producer/merchant/processor/user (PMPU) in agricultural and energy markets are mainly engaged in cross-hedging in the futures market, and most of them would avoid risks in these markets by operating in the metal markets, which can be considered safe for PMPU traders, and that the cross-hedging strategies may play the role of PMPU sentiment spillover across futures markets; (b) as index traders, the swap dealers operate more in two markets, namely between the agricultural and metal markets, or between the agricultural and energy markets; (c) the influence of geopolitical risks in some countries can affect the stability of energy markets, which in turn can cause PMPU system-wide connectedness.