Essays in Finance
PhD thesis on finance, analyzing price trends, return predictability, news sentiment, and mispricing proxies in stock markets.
What it examines
This thesis investigates the predictability of market returns using price trends, sentiment analysis, and error correction models. It aims to understand the role of sentiment in price dynamics and mispricing, using econometric and empirical frameworks to analyze data from various financial sources.
What it concludes
The research suggests that sentiment measures can enhance market return predictions by affecting the speed of price adjustments. Future research could explore larger datasets and formalize models explaining the observed asymmetries. Potential applications include improved asset allocation and market timing strategies.
Evidence objects
The research suggests that sentiment measures can enhance market return predictions by affecting the speed of price adjustments. Future research could explore larger datasets and formalize models explaining the observed asymmetries. Potential applications include improved asset allocation and market timing strategies.
key_findings bullet 1 · key_findings · validation V0
Raw abstract and provenance
Universit? Commerciale ?Luigi Bocconi? PhD School PhD program in: Economics and Finance Cycle: XXXV Disciplinary Field (code): SECS-P/05 Essays in Finance Advisor: Carlo Ambrogio Favero PhD Thesis by Gabriele Confalonieri ID number: 3105995 Year: 2024 Contents 1 Price Trends and Return Predictability 9 1.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9 1.2 The Econometric Framework . . . . . . . . . . . . . . . . . . . . . . . . . . 13 1.2.1 The Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14 1.2.2 The Predictions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 1.3 The Empirical Framework . . . . . . . . . . . . . . . . . . . . . . . . . . . 19 1.3.1 Estimating the Trends . . . . . . . . . . . . . . . . . . . . . . . . . 20 1.3.2 Predicting the Market . . . . . . . . . . . . . . . . . . . . . . . . . 22 1.3.3 Forecast Evaluation . . . . . . . . . . . . . . . . . . . . . . . . . . . 24 1.3.4 Economic Value . . .
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