Individual Investor Sentiment and Stock Returns - What Do We Learn from Warrant Traders?

In this paper, we propose a measure of individual investor sentiment that is derived from the market for bank-issued warrants. Due to a unique warrant transaction data set from a large discount broker we are able to calculate a daily sentiment measure and test whether individual investor sentiment is related to daily stock returns by using vector autoregressive models and Granger causality tests. We find that there exists a mutual influence of sentiment and stock market returns, but only in the very short-run (one and two trading days). Returns have a negative influence on sentiment, while the influence of sentiment on returns is positive for the next trading day. The influence of stock market returns on sentiment is stronger than vice versa. Our sentiment measure simultaneously avoids problems that are associated with existing sentiment measures, which are based on the closed-end fund discount, stock market transactions, the put-call ratio or investor surveys.

Revisiting the Old Industrial Region: Adaptation and Adjustment in an Integrating Europe

The position of old industrial regions (OIRs) has been neglected in recent regional development research, partly as a result of dominant discourses concerned with concepts such as the knowledge economy, learning regions and the new regionalism. One outcome of this conceptual overload is that empirical research has typically been confined to all too familiar case studies of regional success that tell a rather partial story. Yet the extension of the European integration project eastwards alongside growing competition from the urban and regional ‘hotspots’ of the global south prompts a series of largely unconsidered questions about the ability of OIRs to achieve sustainable economic development and social cohesion in the years ahead. Lacking the capital, technological and labour assets of more dynamic cities and regions, and with the historic legacy of deindustrialisation and the decline of traditional sectors, OIRs face some important dilemmas of adjustment and adaptation. In this paper our purpose is to engage with these issues through some preliminary empirical research into the recent fortunes of OIRs in Western Europe’s largest economies: France, Germany, Spain and the UK. Drawing upon material from the Eurostat database, our results hint at interesting patterns of divergence in the performance of OIRs in terms of processes of economic restructuring, employment change and social cohesion. In particular some important variations emerge in the trajectory of regions within different national contexts. Drawing upon recent thinking relating to commodity chains and global production networks, our results lead us to pose a series of questions that relate to the way regions are being repositioned within broader political and economic networks as part of unfolding processes of uneven development and changing spatial divisions of labour

Bulletin general de statistiques 1963, No. 3 – General Statistical Bulletin 1963, No. 3

The monthly Bulletin of general statistics contains the principal data on short term economic trends in the European Community, by subject and by country

Security Transaction Taxes and Market Quality

We examine nine changes in the New York State Security Transaction Taxes (STT) between 1932 and 1981. We find that imposing or increasing an STT results in wider bidask spreads, lower volume, and increased price impact of trades. In contrast to theories of STT imposition as a means to reduce volatility, we find no consistent relationship between the level of an STT and volatility. We examine the propensity of traders to switch trading locations to avoid the tax and find no consistent evidence that they will change locations. We do find evidence to suggest that taxes imposed on the par value of stock will result in corporations managing the par value in the direction of minimizing the impact of the tax on investors.Econometric and statistical methods; Financial markets; Market structure and pricing

Bulletin general de statistiques 1963, No. 3 – General Statistical Bulletin 1963, No. 3

The monthly Bulletin of general statistics contains the principal data on short term economic trends in the European Community, by subject and by country