Stock (geology)

About: Stock (geology) is a research topic. Over the lifetime, 31009 publications have been published within this topic receiving 783542 citations.

Speculative retail trading and asset prices

Abstract: This paper examines the characteristics and pricing of stocks that are actively traded by speculative retail investors. We find that stocks with high retail trading proportion (RTP) have strong lottery features and they attract retail investors with strong gambling propensity. Furthermore, these stocks tend to be overpriced and earn significantly negative alpha. The average monthly return differential between the extreme RTP quintiles is −0.60%. This negative RTP premium is stronger among stocks that have lottery features or arelocated in regions where people exhibit stronger gambling propensity. Collectively, these results indicate that speculative retail trading affects stock prices.

Using Structured Events to Predict Stock Price Movement: An Empirical Investigation

Abstract: It has been shown that news events influence the trends of stock price movements. However, previous work on news-driven stock market prediction rely on shallow features (such as bags-of-words, named entities and noun phrases), which do not capture structured entity-relation information, and hence cannot represent complete and exact events. Recent advances in Open Information Extraction (Open IE) techniques enable the extraction of structured events from web-scale data. We propose to adapt Open IE technology for event-based stock price movement prediction, extracting structured events from large-scale public news without manual efforts. Both linear and nonlinear models are employed to empirically investigate the hidden and complex relationships between events and the stock market. Largescale experiments show that the accuracy of S&P 500 index prediction is 60%, and that of individual stock prediction can be over 70%. Our event-based system outperforms bags-of-words-based baselines, and previously reported systems trained on S&P 500 stock historical data.

Lazy Investors, Discretionary Consumption, and the Cross‐Section of Stock Returns

Abstract: When consumption betas of stocks are computed using year-over-year consumption growth based upon the fourth quarter, the consumption-based asset pricing model (CCAPM) explains the cross-section of stock returns as well as the Fama and French (1993) three-factor model. The CCAPM's performance deteriorates substantially when consumption growth is measured based upon other quarters. For the CCAPM to hold at any given point in time, investors must make their consumption and investment decisions simultaneously at that point in time. We suspect that this is more likely to happen during the fourth quarter, given investors' tax year ends in December.