Social Network Characteristics and the Evolution of Investor Sentiment
ABSTRACT This paper creates a bare bone model to understand how network characteristics such as the richness of the information environment,
tendency for investors to extrapolate past data and social influence affect the transmission and evolution of investor sentiment
within the network. Our results replicate qualitatively the empirical characteristics of actual investor sentiment documented
- SourceAvailable from: Richard H. Thaler
Article: Does the Stock Market Overreact?[show abstract] [hide abstract]
ABSTRACT: The primary aim of the paper is to place current methodological discussions in macroeconometric modeling contrasting the ‘theory first’ versus the ‘data first’ perspectives in the context of a broader methodological framework with a view to constructively appraise them. In particular, the paper focuses on Colander’s argument in his paper “Economists, Incentives, Judgement, and the European CVAR Approach to Macroeconometrics” contrasting two different perspectives in Europe and the US that are currently dominating empirical macroeconometric modeling and delves deeper into their methodological/philosophical underpinnings. It is argued that the key to establishing a constructive dialogue between them is provided by a better understanding of the role of data in modern statistical inference, and how that relates to the centuries old issue of the realisticness of economic theories.Journal of Finance. 01/1985; 40(3):793-805.
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ABSTRACT: For many years, scholars and investment professionals have argued that value strategies outperform the market. These value strategies call for buying stocks that have low prices relative to earnings, dividends, book assets, or other measures of fundamental value. While there is some agreement that value strategies produce higher returns, the interpretation of why they do so is more controversial. This article provides evidence that value strategies yield higher returns because these strategies exploit the suboptimal behavior of the typical investor and not because these strategies are fundamentally riskier. Copyright 1994 by American Finance Association.Journal of Finance. 02/1994; 49(5):1541-78.