DETERMINANTS OF MUTUAL FUNDS INVESTMENT BEHAVIOR

The purpose of this study is to examine the effects of demographic and social characteristics, investment criteria, perceptions and investors awareness of investment behavior on mutual funds in Indonesia. Analysis in this research using logistic regression or logit regression. The object of this study is investors and non-investors of mutual funds in Indonesia, as many as 126 people. Data processing uses SPSS PASW software version 18 for the Windows operating system. The results of this study show that demographic and social characteristics, investment criteria, and awareness of investors simultaneously have a significant effect on investment behavior on mutual funds in Indonesia

Stock market prediction using machine learning classifiers and social media, news

Accurate stock market prediction is of great interest to investors; however, stock markets are driven by volatile factors such as microblogs and news that make it hard to predict stock market index based on merely the historical data. The enormous stock market volatility emphasizes the need to effectively assess the role of external factors in stock prediction. Stock markets can be predicted using machine learning algorithms on information contained in social media and financial news, as this data can change investors’ behavior. In this paper, we use algorithms on social media and financial news data to discover the impact of this data on stock market prediction accuracy for ten subsequent days. For improving performance and quality of predictions, feature selection and spam tweets reduction are performed on the data sets. Moreover, we perform experiments to find such stock markets that are difficult to predict and those that are more influenced by social media and financial news. We compare results of different algorithms to find a consistent classifier. Finally, for achieving maximum prediction accuracy, deep learning is used and some classifiers are ensembled. Our experimental results show that highest prediction accuracies of 80.53% and 75.16% are achieved using social media and financial news, respectively. We also show that New York and Red Hat stock markets are hard to predict, New York and IBM stocks are more influenced by social media, while London and Microsoft stocks by financial news. Random forest classifier is found to be consistent and highest accuracy of 83.22% is achieved by its ensemble

Why are the parts worth more than the sum? "Chop shop," a corporate valuation model

Stock market ; Corporations

The effects of twitter sentiment on renewable energy stock's returns : a Portuguese study about EDP renováveis stocks

Investors’ rationality in the decision-making process has been topic of discussion in the last decades due to conflicts between schools of thought. Several anomalies in the Efficient Market Hypothesis (EMH) led to a new line of thought in the matter of rationality called behavior finance. Sentiment analysis is one branch of this new school of thought who studies investors’ emotions influence on economic variables. There is no consensus between academics if these emotions can make the investment decision biased or not. The aim of this paper is to observe if the prevailing sentiment in tweets can predict the stock returns for a renewable energy company of the Portuguese market. This study looks at the second biggest company by capitalizations of the Portuguese market, EDP Renováveis (EDPR), in the period from the June 1st 2021, to June 1st 2022, and finds no significant evidence of a relationship between Twitter mood and EDP Renováveis stock returns. The reasons for this result might be explained by EDPR belonging to a very small and concentrated market, corroborating the existing theory, as well as the stakeholder composition of the company only having a very small percentage of individual investors, being this kind of investors the most influenced by biases and heuristics present in the tweets. These findings have implications for the development of the sentiment analysis theory, giving more details of the influence of sentiment in smaller and concentrated market, in the renewable energy branch, and in the period of the beginning of the war between Ukraine and Russia and the worldwide economic recovery from the Covid-19 pandemic.A racionalidade dos investidores no processo de decisão de investimento tem sido tópico de discussão nas últimas décadas devido ao conflito entre duas linhas de pensamento diferentes. Várias anomalias que não iam de encontro com a hipótese do mercado eficiente deram origem a uma nova escola de pensamento em relação à racionalidade dos investidores chamada de finanças comportamentais. Análise de sentimentos é um dos ramos desta nova linha de pensamento que estuda a influência das emoções dos investidores em diferentes variáveis económicas. Não existe consenso entre académicos se estas emoções conseguem enviesar as decisões de investimento ou não. O objetivo desta tese é observar se o sentimento presente em tweets consegue fazer prever os retornos das ações de uma empresa de energias renováveis do mercado português. Este estudo analisa a segunda maior empresa portuguesa por capitalizações, a EDP Renováveis (EDPR), no período temporal entre o dia 1 de junho de 2021 e o dia 1 de julho de 2022, e não encontrou evidência com significância de uma relação entre o estado de espírito do Twitter e os retornos das ações da EDP Renováveis. As razões que justificam estes resultados podem ser o facto da EDPR pertencer a um mercado muito pequeno e concentrado como o português, indo de encontro com a evidência empírica, assim como a composição dos proprietários das ações da empresa ter uma percentagem muito reduzida de investidores individuais, que são o tipo de investidor mais facilmente influenciado por heurísticas presentes nos tweets. Este resultado tem implicações para o desenvolvimento da teoria de análise do sentimento, dando mais detalhes da influência deste em mercados mais pequenos e concentrados, no ramo das energias Renováveis, no período de tempo do início da guerra entre a Ucrânia e a Rússia e a recuperação financeira mundial pós-Covid-19

Textual Analysis of Intangible Information

Traditionally, equity investors have relied upon the information reported in firms’ financial accounts to make their investment decisions. Due to the conservative nature of accounting standards, firms cannot value their intangible assets such as corporate culture, brand value and reputation. Investors’ efforts to collect such information have been hampered by the voluntary nature of Corporate Social Responsibility (CSR) reporting standards, which have resulted in the publication of inconsistent, stale and incomplete information across firms. In short, information on intangible assets is less salient to investors compared to accounting information because it is more costly to collect, process and analyse. In this thesis we design an automated approach to collect and quantify information on firms’ intangible assets by drawing upon techniques commonly adopted in the fields of Natural Language Processing (NLP) and Information Retrieval. The exploitation of unstructured data available on the Web holds promise for investors seeking to integrate a wider variety of information into their investment processes. The objectives of this research are: 1) to draw upon textual analysis methodologies to measure intangible information from a range of unstructured data sources, 2) to integrate intangible information and accounting information into an investment analysis framework, 3) evaluate the merits of unstructured data for the prediction of firms’ future earnings

Perceptions of personal risk in tourists’ destination choices: nature tours in Mexico

Terrorism, pandemic diseases, and other threatening events have recently heightened the sense of personal risk for tourists considering international travel. This article addresses the paucity of research assessing perceptions of risk both before and during travel to risky destinations. Tourists on two nature tours in Mexico were interviewed and observed while engaged in the travel. Many types of specific perceived risks were uncovered, including insect-borne disease, traffic accidents, financial losses, and unattained goals. Some correlates of perceived risk were tour company reputation, stage of family life cycle, age, and motivation. Based on the types of perceived risk and the factors, five propositions are discussed. One unexpected proposition addresses the role of age and states that as the perceived years of physical ability to travel decreases, the tolerance for safety risk increases. Another proposes that eco-tourists with intense, destination- specific motivations are more tolerant of travel risk than those with casual and/or social motivations. The article concludes with suggestions for tour industry managers and directions for future research

Econometrics meets sentiment : an overview of methodology and applications

The advent of massive amounts of textual, audio, and visual data has spurred the development of econometric methodology to transform qualitative sentiment data into quantitative sentiment variables, and to use those variables in an econometric analysis of the relationships between sentiment and other variables. We survey this emerging research field and refer to it as sentometrics, which is a portmanteau of sentiment and econometrics. We provide a synthesis of the relevant methodological approaches, illustrate with empirical results, and discuss useful software

Design Principles for Robust Fraud Detection: The Case of Stock Market Manipulations

We address the challenge of building an automated fraud detection system with robust classifiers that mitigate countermeasures from fraudsters in the field of information-based securities fraud. Our work involves developing design principles for robust fraud detection systems and presenting corresponding design features. We adopt an instrumentalist perspective that relies on theory-based linguistic features and ensemble learning concepts as justificatory knowledge for building robust classifiers. We perform a naive evaluation that assesses the classifiers’ performance to identify suspicious stock recommendations, and a robustness evaluation with a simulation that demonstrates a response to fraudster countermeasures. The results indicate that the use of theory-based linguistic features and ensemble learning can significantly increase the robustness of classifiers and contribute to the effectiveness of robust fraud detection. We discuss implications for supervisory authorities, industry, and individual users

Empirical Analysis Тowards the Effect of Social Media on Cryptocurrency Price and Volume

Bitcoin’s value is highly dependent on the communities that use it. This network effect is true for all new technologies. Today’s online communities are so large in population that both the Facebook user and Youtuber populations have surpassed the Chinese population. We take a big data approach using millions of samples of posts from Twitter, Telegram, and Reddit to study how and if social media platforms, the epitome of online communities, affect Bitcoin’s price and volume as well as the price and volume of fifteen other top cryptocurrencies. We work in collaboration with Solume, a data centered fin-tech startup, as well as with Sentistrength, an opinion mining tool developed by researchers in the UK, to classify the sentiment of the millions of posts we study. We collected millions of posts related to 16 cryptocurrencies from November 2017 through August 2018 on an hourly basis and explore social media volume sentiment effect on these cryptocurrencies. Findings confirm that volumes of exchanged posts may predict the fluctuations of Bitcoin’s price but mainly, they predict volume. We also find that Reddit and Telegram posts have greater impact on Bitcoin volume than Twitter. Results indicate that information about the use of social media platforms can assist in tracking real world behavior and may even predict real financial market trends