Corredor Casado, María Pilar

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https://academica-e.unavarra.es/handle/2454/48868

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Corredor Casado

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María Pilar

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Gestión de Empresas

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INARBE. Institute for Advanced Research in Business and Economics

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0000-0003-1739-0095

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88426

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421

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2011 - 20132
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End date: 2015 × Subject: Behaviour ×

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Now showing 1 - 2 of 2
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    PublicationOpen Access
    Value of analysts’ consensus recommendations and investor sentiment
    (Taylor & Francis, 2013) Corredor Casado, María Pilar; Ferrer Zubiate, Elena; Santamaría Aquilué, Rafael; Gestión de Empresas; Enpresen Kudeaketa
    This paper studies the effect of investor sentiment on analysts' consensus recommendations. Our results show that the optimistic bias of analysts in the issuing of recommendations is affected by investor sentiment: the greater the investor sentiment, the more optimistically biased the analysts’ consensus recommendations. This bias is larger in stocks whose characteristics make them hard to value or to arbitrage. We also show that investor sentiment can help in the design of profitable strategies, particularly when taking the short position in portfolios with high sentiment sensitivity stocks.
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    PublicationOpen Access
    Detecting intentional herding: what lies beneath intraday data in the Spanish stock market
    (Palgrave Macmillan, 2011) Blasco de las Heras, Natividad; Corredor Casado, María Pilar; Ferreruela Garcés, Sandra; Gestión de Empresas; Enpresen Kudeaketa
    This paper examines the intentional herd behaviour of market participants, using Li´s test to compare the probability distributions of the scaled cross-sectional deviation in returns in the intraday market with the cross-sectional deviation in returns in an “artificially created” market free of intentional herding effects. The analysis is carried out for both the overall market and a sample of the most representative stocks. Additionally, a bootstrap procedure is applied in order to gain a deeper understanding of the differences across the distributions under study. The results show that the Spanish market exhibits a significant intraday herding effect that is not detected using other traditional herding measures when familiar and heavily traded stocks are analysed. Furthermore, it is suggested that intentional herding is likely to be better revealed using intraday data, and that the use of a lower frequency data may obscure results revealing imitative behaviour in the market.