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Investor sentiment effect in stock markets: stock characteristics or country-specific factors?
(Elsevier, 2013)
Artículo / Artikulua,
This paper analyzes the investor sentiment effect in four key European stock markets: France, Germany, Spain and the UK. The findings show that sentiment has a significant influence on returns, varying in intensity across ...
Value of analysts’ consensus recommendations and investor sentiment
(Taylor & Francis, 2013)
Artículo / Artikulua,
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 ...
Is default risk the hidden factor in momentum returns? Some empirical results
(Wiley, 2014)
Artículo / Artikulua,
This paper analyzes the role of default risk in the momentum effect focusing on data from four developed European stock markets (France, Germany, Spain and the United Kingdom). Using a market-based measure of default risk, ...
The effect of US holidays on European markets: when the cat's away...
(Wiley, 2013)
Artículo / Artikulua,
This paper presents evidence of the existence of a return effect on European stock markets coinciding with NYSE holidays, which is particularly marked after positive closing returns on the NYSE the previous day. The effect ...
Momentum and default risk. Some results using the jump component
(Elsevier, 2015)
Artículo / Artikulua,
In this paper we separate the total stock return into its continuous and jump component to test whether stock return predictability should be attributed to omitted risk factors or behavioral finance theories. We extend ...
The role of investor type in the fee structures of pension plans
(Springer, 2016)
Artículo / Artikulua,
We examine the role of the investor type in the fee structure of pension plans. Our examination uses a data set of employer-sponsored and individual private pension funds in Spain. We find different determinants of the ...
Is cognitive bias really present in analyst forecasts? The role of investor sentiment
(Elsevier, 2014)
Artículo / Artikulua,
This paper analyses four key markets within the European context. In this context, where the level of analyst coverage is lower than in the US setting, we aim to ascertain whether the origin of optimism in analyst forecasts ...
Behavioral biases never walk alone: an empirical analysis of the effect of overconfidence on probabilities
(SAGE, 2014)
Artículo / Artikulua,
This paper presents evidence of the impact of overconfidence bias in asset prices drawn from a study based on data from tennis betting exchanges. A series of betting strategies in tournaments with a clear-cut favourite are ...
Sentiment-prone investors and volatility dynamics between spot and futures markets
(Elsevier, 2015)
Artículo / Artikulua,
This paper analyses the role of investor sentiment in the contemporaneous dynamics of spot and futures markets and in volatility spillovers between them. To explore this issue, we analyse spot and futures markets on stock ...
Influence of IPO characteristics on liquidity
(AECATaylor & Francis, 2011)
Artículo / Artikulua,
Este estudio examina la relación existente entre las características que definen las Ofertas Públicas de Venta Iniciales (OPIs) y la liquidez de las acciones en circulación tras la ejecución de estas operaciones. Se argumenta ...