Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 26, 2023 erstellt
Beschreibung:
We study how the distribution of stock returns is influenced through investor opinion by applying expectile regression to abnormal NASDAQ returns over the period April 2015 - August 2019. Thereby, we differentiate between different aspects of investor opinion: investor perception, attention and sentiment, and use firm and time specific proxies for each of the aspects. We consider purely financial indicators, as book to market ratio, size, shares turnover, together with scheduled and unscheduled events, as earnings announcements and news releases, in an interplay with sentiment (or polarity) of news content. We find, that the majority of the concerned effects depend on the expectile level τ , which itself can be understood as the ‘state of the world’ or ‘extremeness level’ of individual abnormal returns. While not always significant for the mean regression, the proxies of the investment opinion show significant effects on the conditional distribution of asset returns beyond its mean. Our expectile regression approach allows us to naturally generalize the previous studies of conditional mean regression to higher conditional moments and estimate investor opinion impact thereon. Singificant impact of positive and negative sentiment on the shape of the conditional return distribution is tracted via expectile- based measures of dispertion and skewness. Moreover, using the relation of expectiles to expected shortfall, we tranfer our findings to the expected-shortfall-point of view and explore significance of the effects on conditional expected shortfall as well