1,720,985 research outputs found
Aggregating sentiment in Europe: the relationship with volatility and returns
Full text linkThis paper presents several proposals for creating an aggregate sentiment index for the European stock market. We achieve this objective by using the OWA and WOWA operators, which have been successful in finance and have a strong financial interpretation. We compute ten different aggregate sentiment indices for the 2007-2021 period and evaluate their ability to provide information about current and future market volatility and returns. We find several results of interest for both investors and policymakers. Sentiment indices have a strong negative relationship with market volatility. Extreme values of sentiment can predict future market returns, with low values indicating positive returns and high values suggesting negative returns. Finally, using stock market capitalisation as an input of the WOWA operator enhances explanatory power of the indices on future market returns compared to the OWA operator
Unveiling Sentiment Dynamics and Forecasting Future Economic Sentiment in the Eurozone using Option-Implied Asymmetry Measures
Full text linkIn this paper, we introduced several asymmetry indices based on option prices for the Eurozone. The aim is to investigate the ability of option-implied asymmetry measures to explain sentiment dynamics and forecast future market sentiment. To achieve our objectives, we measured asymmetry in two ways. Firstly, we decomposed the SKEW index into its positive and negative components. Secondly, we introduced the Risk-Asymmetry (RAX) index as an alternative measure of asymmetry. Our findings suggest that asymmetry indices play a significant role in explaining the level of economic sentiment indicators. Additionally, the asymmetry index obtained from the left tail of the risk-neutral distribution (put prices) contains useful information for predicting the level of sentiment in the following month
Il finanziamento della ricerca clinica in Advanced Therapy Medicinal Products (ATMP): cosa determina l'intervento della Finanza?
Full text linkIl finanziamento della ricerca medica è un prerequisito per migliorare la salute pubblica e l'inclusione sociale ed economica. Tuttavia, la ricerca medica incontra numerosi ostacoli nell’ottenimento di finanziamenti, che sono ancora più rilevanti per la ricerca su Advanced Therapy Medicinal Products (ATMP). Lo sviluppo clinico
degli ATMP presenta sfide peculiari che possono influenzare il processo di valutazione degli investitori e le
decisioni di investimento, con conseguente errata o mancata allocazione delle risorse finanziarie da parte di investitori pubblici e privati. L'industria finanziaria ha il potenziale per mobilitare capitali pazienti e superare le difficoltà di finanziamento della ricerca nel campo degli ATMP.
Combinando un approccio sia qualitativo che quantitativo, questo studio indaga se e come le istituzioni finanziarie investono nella ricerca medica sugli ATMP e quali sono i fattori trainanti dell'intervento della finanza attraverso un campione di 1.042 studi clinici europei nell’ambito degli ATMP.
Attualmente, il settore finanziario supporta indirettamente la ricerca clinica in ATMP. Tale supporto si concretizza attraverso il finanziamento di PMI impegnate in studi clinici in ATMP di Fase I, solitamente più
soggette a esclusione o razionamento finanziario. Questo studio, peraltro, dimostra empiricamente che l’investimento in queste PMI è caratterizzato da un processo decisionale razionale. Nello specifico, risultati suggeriscono che le istituzioni finanziarie si concentrano su progetti caratterizzati da minore incertezza, un orizzonte temporale più breve tra investimento e ritorno economico, maggiore fattibilità, maggiore qualità e rigore metodologico e maggiore diversificazione delle malattie target
News Sentiment indicators and the Cross‐Section of Stock Returns in the European Stock Market
Full text linkThis paper investigates whether the Bloomberg investor sentiment index can provide valuable information for investors and fund managers for the purposes of stock picking and portfolio selection. The dataset consists of all the listed companies in the Euro area for the period from 2010 to 2021. By exploiting portfolio sorting strategies, the paper evaluates to what extent and how long investor sentiment can affect stock returns. Moreover, it considers whether additional factors can affect the relationship between sentiment and returns, casting light on the asymmetric effect related to positive and negative news.
The findings are as follows. First, high (low) sentiment stocks exhibit high (low) returns on average. The average return of the portfolio that takes a long position in the stocks with very high sentiment and a short position in stocks with very low sentiment is statistically and economically significant and is robust to the inclusion of commonly used risk factors. Second, the predictability of stock returns using the sentiment indicator declines fast after one month. Third, evidence is found of the profitability of a long-short strategy that invests in stocks with low capitalization: profitability declines with the duration of the investment period. Finally, it is found that positive news is factored into the stock price more slowly than negative news, especially for stocks with low market capitalization
Banks’ attitude to partnership as an antecedent of Open Banking platforms: structural determinants and effects on performance in the Italian context
Full text linkThe recent developments in regulation, in particular PSD2 and ICT technologies, are fostering the Open Banking phenomenon, a model of forced or voluntary collaboration based on the sharing of data and applications between subjects not necessarily affiliated, in order to develop, produce and distribute innovative and value-added financial products and services for the customer. Open Banking is still in its early stages, and the approach with which banks decide to interpret and adapt to the new PSD2 regulations is crucial to grasp the evolution of the structure and operativity of the financial system in the coming years, as well as the role that banks will play in it. Indeed, a positive banks’ attitude to partnership is a crucial factor for developing Open Banking ecosystems and platforms and deserves the attention of researchers.
In this paper, we investigate the attitude to partnership of a sample of 45 Italian banks, which allows us to better understand whether there exist conditions for creating Open Banking ecosystems. Furthermore, we explore the economic determinants of banks’ attitudes to partnership and its effect on performance. Results reveal a low current attitude to partnership of Italian banks, a factor that may hinder the formation of Open Banking ecosystems and platforms. The attitude to partnership tends to be low for larger and more capitalised banks, while the opposite occurs for smaller and less capitalised banks, which can be more inclined to participate in Open Banking platforms to compensate for possible constraints in size, resources and human capital. Overall, participation in Open Banking platforms can be justified by the positive effect of attitude to partnership on banks’ performance, as shown by our analysis
Moment Risk Premia and the Cross-Section of Stock Returns
No full textThe aim of this paper is to assess the existence and the sign of moment risk premia. To this end, we use methodologies ranging from swap contracts to portfolio sorting techniques in order to obtain robust estimates. We provide empirical evidence for the European stock market for the 2008-2015 time period. Evidence is found of a negative volatility risk premium and a positive skewness risk premium, which are robust to the different techniques and cannot be explained by common risk-factors such as market excess return, size, book-to-market and momentum. Kurtosis risk is not priced in our dataset. Furthermore, we find evidence of a positive risk premium in relation to the firm’s size
The properties of a skewness index and its relation with volatility and returns
Full text linkThe objective of this study is threefold. First, we investigate the properties of a skewness index in order to determine whether it captures fear (fear of losing money), or greed in the market (fear of losing opportunities). Second, we uncover the combined relationship among skewness, volatility and returns. Third, we provide further evidence and possible explanations for the relationship between skewness and future returns, which is highly debated in the literature. The stock market investigated is the Italian one, for which a skewness index is not traded yet. The methodology proposed for the construction of the Italian skewness index can be adopted for other European and non-European countries characterized by a limited number of option prices traded.
Several results are obtained. First, we find that in the Italian market the skewness index acts as measures of market greed, as opposed to market fear. Second, for almost 70% of the daily observations, the implied volatility and the skewness index move together but in opposite directions. Increases (decreases) in volatility and decreases (increases) in the skewness index are associated with negative (positive) returns. Last, we find strong evidence that positive returns are reflected both in a decrease in the implied volatility index and in an increase in the skewness index the following day. Implications for investors and policy makers are drawn
The skewness index: uncovering the relationship with volatility and market returns
No full textThe SKEW index of the Chicago Board Options Exchange (CBOE), launched in February 2011, measures the tail risk not fully captured by the VIX index. In this paper we introduce, for the first time, a skewness index for the Italian stock market (ITSKEW) and investigate the pairwise and trilateral relations of this index with volatility and market returns. The results are compared with those of the US market. Data for the period 3 January 2011 to 29 December 2017 are used and three main results are found. First, in both the US and the Italian markets, the skewness index acts as a measure of market greed, as opposed to market fear, in the sense that it captures investor excitement to a larger extent than investor fear. Second, increases in the skewness index are related to returns with high significance in the Granger causality test, while the reverse is not the case. Last, volatility and skewness may give conflicting signals. When skewness and volatility indices move in the same direction, investors should rely on volatility because it has a stronger influence on market returns. The implications for investors and policy-makers are outlined
The use of option prices to assess the skewness risk premium
No full textThe aims of this study are twofold. First, to determine the sign and magnitude of the skewness risk premium (SRP) in the Italian index option market using two procedures: (i) skewness swap contracts, (ii) option trading strategies consisting of positions in options and their underlying assets. Second, to investigate the term structure of the SRP for 30, 60 and 90-day maturities to provide investors with a proper time horizon for profitable skewness trading strategies. Several results are obtained. First, the SRP, defined as the difference between the physical and the risk-neutral skewness, is positive and statistically and economically significant. These findings indicate that the SRP does exist, it is positive in sign, and it can be quantified. Second, the SRP is higher in magnitude for short-term maturity (€35 for the 30-day maturity) and lower for 60-day and 90-day maturities (both about €27). Third, skewness trading strategies confirm our finding of a positive and economically significant SRP. Fourth, a strategy that sells out-of-the-money puts is more profitable for medium-term maturities compared to short-term maturities. A strategy that takes a long position on out-of-the-money calls, and a short position on out-of-the-money puts, yields a higher return, if near-term options are used
- …
