Trading on mood? Analysing the efficacy of sentiment and behavioural biases in predicting stock market movements and investor behaviour

Detalhes bibliográficos
Autor(a) principal: Andrews, Pete
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/133423
Resumo: Traditional finance theory rests on the assumption that investors are rational in aggregation. However, a wealth of behavioural finance research has shown this not to be the case. This paper examines whether biases that have been evidenced to impact individual’s behaviour can be witnessed in the stock market as a whole, and whether these can be utilised as a bellwether to future price changes. The results mirror the findings of the behaviourists, evidencing a susceptibility to biases among investors, and a promising forecasting ability when incorporated into a systematic volatility trading model.
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spelling Trading on mood? Analysing the efficacy of sentiment and behavioural biases in predicting stock market movements and investor behaviourAsset pricingInvestingDomínio/Área Científica::Ciências Sociais::Economia e GestãoTraditional finance theory rests on the assumption that investors are rational in aggregation. However, a wealth of behavioural finance research has shown this not to be the case. This paper examines whether biases that have been evidenced to impact individual’s behaviour can be witnessed in the stock market as a whole, and whether these can be utilised as a bellwether to future price changes. The results mirror the findings of the behaviourists, evidencing a susceptibility to biases among investors, and a promising forecasting ability when incorporated into a systematic volatility trading model.Ribeiro, Gonçalo SommerRUNAndrews, Pete2022-02-23T11:48:57Z2021-06-292021-05-202021-06-29T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/133423TID:202769674enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:12:02Zoai:run.unl.pt:10362/133423Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:47:47.590150Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Trading on mood? Analysing the efficacy of sentiment and behavioural biases in predicting stock market movements and investor behaviour
title Trading on mood? Analysing the efficacy of sentiment and behavioural biases in predicting stock market movements and investor behaviour
spellingShingle Trading on mood? Analysing the efficacy of sentiment and behavioural biases in predicting stock market movements and investor behaviour
Andrews, Pete
Asset pricing
Investing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Trading on mood? Analysing the efficacy of sentiment and behavioural biases in predicting stock market movements and investor behaviour
title_full Trading on mood? Analysing the efficacy of sentiment and behavioural biases in predicting stock market movements and investor behaviour
title_fullStr Trading on mood? Analysing the efficacy of sentiment and behavioural biases in predicting stock market movements and investor behaviour
title_full_unstemmed Trading on mood? Analysing the efficacy of sentiment and behavioural biases in predicting stock market movements and investor behaviour
title_sort Trading on mood? Analysing the efficacy of sentiment and behavioural biases in predicting stock market movements and investor behaviour
author Andrews, Pete
author_facet Andrews, Pete
author_role author
dc.contributor.none.fl_str_mv Ribeiro, Gonçalo Sommer
RUN
dc.contributor.author.fl_str_mv Andrews, Pete
dc.subject.por.fl_str_mv Asset pricing
Investing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Asset pricing
Investing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description Traditional finance theory rests on the assumption that investors are rational in aggregation. However, a wealth of behavioural finance research has shown this not to be the case. This paper examines whether biases that have been evidenced to impact individual’s behaviour can be witnessed in the stock market as a whole, and whether these can be utilised as a bellwether to future price changes. The results mirror the findings of the behaviourists, evidencing a susceptibility to biases among investors, and a promising forecasting ability when incorporated into a systematic volatility trading model.
publishDate 2021
dc.date.none.fl_str_mv 2021-06-29
2021-05-20
2021-06-29T00:00:00Z
2022-02-23T11:48:57Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/133423
TID:202769674
url http://hdl.handle.net/10362/133423
identifier_str_mv TID:202769674
dc.language.iso.fl_str_mv eng
language eng
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eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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