Stock market return predictability: Google pessimistic sentiments versus fear gauge

This study aims at comparing Google Search Volume Indices (GSVIs—including market crash and bear market) and VIX (Investor Fear Gauge Index) in terms of explaining the S&P 500 returns. The VIX is found a more robust predictor of stock market returns than Google indices, and it does granger cause the GSVIs more robustly. In addition, in vector auto-regression model, VIX has more prominent effect of its past values on both Google indices. Finally, using the autoregressive distributed lag (ARDL) and nonlinear ARDL models, contrary to prior literature, we find significant symmetric negative relationship between changes in VIX and S&P 500 returns

Do sentiment indices impact the premium of prominent pricing factors?

This study investigates whether Google Search Volume Indices (GSVIs) bring shifts in the expected return of prominent pricing factors in comparison to the Volatility Index (VIX). The results show that compared to VIX, GSVIs bring less significant changes in expected premium on Fama–French’s five-factors and q-factors. Pessimistic sentiment indices (Market Crash and Bear Market) predict more significant variation in the premium of prominent pricing factors than optimistic sentiment indices (Market Rally and Bull Market), and also have a significant correlation with VIX representing downside risk. Furthermore, the sentiment indices are better in predicting premium on five-factors than q-factors

Household behavior in practicing mental budgeting based on the theory of planned behavior

Abstract Ajzen’s theory of planned behavior (TPB) suggests that planned behavior is determined by behavioral intention. Despite extensive literature based on TPB, household mental budgeting behavior explained by TPB is underexplored. The current study empirically tested TPB factors in light of mental budgeting behavior. The hypothesized model was tested using partial least squares structural equation modeling (PLS-SEM). PLS-SEM was employed using a Likert-scaled questionnaire administered to 275 households. The results indicate that mental budgeting attitude and mental budgeting past behavior strongly predict mental budgeting intention, and mental budgeting intention predicts mental budgeting behavior. Further, mental budgeting intention partially mediates the relationship between mental budgeting attitude and mental budgeting behavior, and mental budgeting past behavior and mental budgeting behavior. This study contributes to the academic interest in theoretical progress in household behavior

The impact of supervisory justice and perceived Supervisor support on organizational citizenship behavior and commitment to supervisor: the mediating role of trust

This study examines the mediating role of supervisory trust between the relationship of supervisory justice & perceived supervisor support and organizational citizenship behavior & commitment to supervisor. Drawing on social exchange theory and justice theory, we hypothesize that supervisory justice and perceived supervisor support will significantly affect trust in supervisor which in turn enhances subordinate organizational citizenship behavior and commitment to supervisor. Data was collected from 350 employees of telecommunication sector of Pakistan through a self-administered survey. Structural equation modeling (SEM) technique was applied via LISERL to test the hypothesized model. The results revealed that supervisory justice (interpersonal, and informational justice) and perceived supervisor support are positively and significantly related to organizational citizenship behavior and commitment to supervisor except for supervisory procedural justice. Moreover, trust in supervisor partially mediates the relationship between supervisory justice (interpersonal, and informational justice) & perceived supervisor support and organizational citizenship behavior & commitment to supervisor. However, the mediation of supervisory trust was not supported for supervisory procedural justice and organizational citizenship behavior & commitment to supervisor. Based on the results, theoretical, practical implications, and future research directions are discussed