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1 – 10 of 378Baojun Ma, Jingxia He, Hui Yuan, Jian Zhang and Chi Zhang
Corporate social responsibility (CSR) is significant in the financial market. Despite plenty of existing research on CSR, few studies have quantified the fine-grained aspects of…
Abstract
Purpose
Corporate social responsibility (CSR) is significant in the financial market. Despite plenty of existing research on CSR, few studies have quantified the fine-grained aspects of CSR and examined how diverse CSR aspects are associated with firms' trade credit. Based on the released CSR reports, this paper strives to measure the CSR fulfillment of firms and examine the relationships between CSR and trade credit in terms of textual features presented in these reports.
Design/methodology/approach
This research proposes a natural language processing-based framework to extract the overall readability and the sentiment of fine-grained aspects from CSR reports, which can signal the performance of firms' CSR in diverse aspects. Furthermore, this paper explores how the textual features are associated with trade credit through partial dependence plots (PDPs), and PDPs can generate both linear and nonlinear relationships.
Findings
The study’s results reveal that the overall readability of the reports is positively associated with trade credit, while the performance of the fine-grained CSR aspects mentioned in the CSR reports matters differently. The performance of the environment has a positive impact on trade credit; the performance of creditors, suppliers and information disclosure, shows a U-shaped influence on trade credit; while the performance of the government and customers is negatively associated with trade credit.
Originality/value
This study expands the scope of research on CSR and trade credit by investigating fine-grained aspects covered in CSR reports. It also offers some managerial implications in the allocation of CSR resources and the presentation of CSR reports.
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Paulo Fernando Marschner and Paulo Sergio Ceretta
The purpose of this study is to analyze how sentiment affects economic activity in Brazil.
Abstract
Purpose
The purpose of this study is to analyze how sentiment affects economic activity in Brazil.
Design/methodology/approach
Based on a nonlinear autoregressive distributed lag (NARDL) model, this study examines in detail the short-term and long-term asymmetric impacts between the variables during the period from January 2007 to December 2020.
Findings
There are three main results of this study. First, sentiment is an important factor for economic activity in Brazil, and its effect possibly occurs through the channels of consumption and investment, which are the two main components of economic growth. Second, sentiment affects economic activity in different ways in the short and the long term: in Brazil, although in the short-term, immediate shocks of sentiment may be confusing, the negative shocks from previous periods have a negative impact on economic activity. Third, the effect of shocks of optimism and pessimism on economic activity is asymmetric, and in the long run, only shocks of optimism have a significant and positive impact.
Originality/value
The relationship between sentiment and economic activity is still a controversial issue in the literature and this study seeks to advance its understanding in Brazil.
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Amit Rohilla, Neeta Tripathi and Varun Bhandari
In a first of its kind, this paper tries to explore the long-run relationship between investors' sentiment and selected industries' returns over the period January 2010 to…
Abstract
Purpose
In a first of its kind, this paper tries to explore the long-run relationship between investors' sentiment and selected industries' returns over the period January 2010 to December 2021.
Design/methodology/approach
The paper uses 23 market and macroeconomic proxies to measure investor sentiment. Principal component analysis has been used to create sentiment sub-indices that represent investor sentiment. The autoregressive distributed lag (ARDL) model and other sophisticated econometric techniques such as the unit root test, the cumulative sum (CUSUM) stability test, regression, etc. have been used to achieve the objectives of the study.
Findings
The authors find that there is a significant relationship between sentiment sub-indices and industries' returns over the period of study. Market and economic variables, market ratios, advance-decline ratio, high-low index, price-to-book value ratio and liquidity in the economy are some of the significant sub-indices explaining industries' returns.
Research limitations/implications
The study has relevant implications for retail investors, policy-makers and other decision-makers in the Indian stock market. Results are helpful for the investor in improving their decision-making and identifying those sentiment sub-indices and the variables therein that are relevant in explaining the return of a particular industry.
Originality/value
The study contributes to the existing literature by exploring the relationship between sentiment and industries' returns in the Indian stock market and by identifying relevant sentiment sub-indices. Also, the study supports the investors' irrationality, which arises due to a plethora of behavioral biases as enshrined in classical finance.
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Thu Le Can, Minh Duy Le and Ko-Chia Yu
By extending Edmans et al.’s (2021) music sentiment measures to the Vietnam market, the authors aim to investigate the impacts of music sentiment on stock market returns and…
Abstract
Purpose
By extending Edmans et al.’s (2021) music sentiment measures to the Vietnam market, the authors aim to investigate the impacts of music sentiment on stock market returns and volatility.
Design/methodology/approach
The authors adopted Edmans et al.’s (2021) music-based sentiment to proxy for investor mood. The current study uses linear regression analysis.
Findings
The authors find that music sentiment is significantly and positively related to both stock returns and stock market volatility. The authors also show that music sentiment has a contagious effect: Global music sentiment and those in the United States, France and Hong Kong are significant drivers of the Vietnamese stock market. The authors also examine the effect on different industry returns and find that returns on stocks of firms in the communication services, consumer discretionary, consumer staples, energy, financials, healthcare, real-estate, information technology and utility sectors are significantly related to music sentiment. In addition to valence, the authors find that other Spotify audio features can be used to quantify music sentiment.
Originality/value
This study contributes to the behavioral finance literature that focuses on investor sentiment. The authors address this topic in Vietnam using high-frequency data.
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Dyliane Mouri Silva de Souza and Orleans Silva Martins
This study identified how investor sentiment on Twitter is associated with Brazilian stock market return and trading volume.
Abstract
Purpose
This study identified how investor sentiment on Twitter is associated with Brazilian stock market return and trading volume.
Design/methodology/approach
The study analyzes 314,864 tweets between January 1, 2017, to December 31, 2018, collected with the Tweepy library. The companies’ financial data were obtained from Refinitiv Eikon. Using the netnographic method, a Twitter Investor Sentiment Index (ISI) was constructed based on terms associated with the stocks. This Twitter sentiment was attributed through machine learning using the Google Cloud Natural Language API. The associations between Twitter sentiment and market performance were performed using quantile regressions and vector auto-regression (VAR) models, because the variables of interest are heterogeneous and non-normal, even as relationships can be dynamic.
Findings
In the contemporary period, the ISI is positively correlated with stock market returns, but negatively correlated with trading volume. The autoregressive analysis did not confirm the expectation of a dynamic relationship between sentiment and market variables. The quantile analysis showed that the ISI explains the stock market return, however, only at times of lower returns. It is possible to state that this effect is due to the informational content of the tweets (sentiment), and not to the volume of tweets.
Originality/value
The study presents unprecedented evidence for the Brazilian market that investor sentiment can be identified on Twitter, and that this sentiment can be useful for the formation of an investment strategy, especially in times of lower returns. These findings are original and relevant to market agents, such as investors, managers and regulators, as they can be used to obtain abnormal returns.
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Daniel Šandor and Marina Bagić Babac
Sarcasm is a linguistic expression that usually carries the opposite meaning of what is being said by words, thus making it difficult for machines to discover the actual meaning…
Abstract
Purpose
Sarcasm is a linguistic expression that usually carries the opposite meaning of what is being said by words, thus making it difficult for machines to discover the actual meaning. It is mainly distinguished by the inflection with which it is spoken, with an undercurrent of irony, and is largely dependent on context, which makes it a difficult task for computational analysis. Moreover, sarcasm expresses negative sentiments using positive words, allowing it to easily confuse sentiment analysis models. This paper aims to demonstrate the task of sarcasm detection using the approach of machine and deep learning.
Design/methodology/approach
For the purpose of sarcasm detection, machine and deep learning models were used on a data set consisting of 1.3 million social media comments, including both sarcastic and non-sarcastic comments. The data set was pre-processed using natural language processing methods, and additional features were extracted and analysed. Several machine learning models, including logistic regression, ridge regression, linear support vector and support vector machines, along with two deep learning models based on bidirectional long short-term memory and one bidirectional encoder representations from transformers (BERT)-based model, were implemented, evaluated and compared.
Findings
The performance of machine and deep learning models was compared in the task of sarcasm detection, and possible ways of improvement were discussed. Deep learning models showed more promise, performance-wise, for this type of task. Specifically, a state-of-the-art model in natural language processing, namely, BERT-based model, outperformed other machine and deep learning models.
Originality/value
This study compared the performance of the various machine and deep learning models in the task of sarcasm detection using the data set of 1.3 million comments from social media.
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Evangelos Vasileiou, Elroi Hadad and Georgios Melekos
The objective of this paper is to examine the determinants of the Greek house market during the period 2006–2022 using not only economic variables but also behavioral variables…
Abstract
Purpose
The objective of this paper is to examine the determinants of the Greek house market during the period 2006–2022 using not only economic variables but also behavioral variables, taking advantage of available information on the volume of Google searches. In order to quantify the behavioral variables, we implement a Python code using the Pytrends 4.9.2 library.
Design/methodology/approach
In our study, we assert that models relying solely on economic variables, such as GDP growth, mortgage interest rates and inflation, may lack precision compared to those that integrate behavioral indicators. Recognizing the importance of behavioral insights, we incorporate Google Trends data as a key behavioral indicator, aiming to enhance our understanding of market dynamics by capturing online interest in Greek real estate through searches related to house prices, sales and related topics. To quantify our behavioral indicators, we utilize a Python code leveraging Pytrends, enabling us to extract relevant queries for global and local searches. We employ the EGARCH(1,1) model on the Greek house price index, testing several macroeconomic variables alongside our Google Trends indexes to explain housing returns.
Findings
Our findings show that in some cases the relationship between economic variables, such as inflation and mortgage rates, and house prices is not always consistent with the theory because we should highlight the special conditions of the examined country. The country of our sample, Greece, presents the special case of a country with severe sovereign debt issues, which at the same time has the privilege to have a strong currency and the support and the obligations of being an EU/EMU member.
Practical implications
The results suggest that Google Trends can be a valuable tool for academics and practitioners in order to understand what drives house prices. However, further research should be carried out on this topic, for example, causality relationships, to gain deeper insight into the possibilities and limitations of using such tools in analyzing housing market trends.
Originality/value
This is the first paper, to the best of our knowledge, that examines the benefits of Google Trends in studying the Greek house market.
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Bodo B. Schlegelmilch, Kirti Sharma and Sambbhav Garg
This paper aims to illustrate the scope and challenges of using computer-aided content analysis in international marketing with the aim to capture consumer sentiments about…
Abstract
Purpose
This paper aims to illustrate the scope and challenges of using computer-aided content analysis in international marketing with the aim to capture consumer sentiments about COVID-19 from multi-lingual tweets.
Design/methodology/approach
The study is based on some 35 million original COVID-19-related tweets. The study methodology illustrates the use of supervised machine learning and artificial neural network techniques to conduct extensive information extraction.
Findings
The authors identified more than two million tweets from six countries and categorized them into PESTEL (i.e. Political, Economic, Social, Technological, Environmental and Legal) dimensions. The extracted consumer sentiments and associated emotions show substantial differences across countries. Our analyses highlight opportunities and challenges inherent in using multi-lingual online sentiment analysis in international marketing. Based on these insights, several future research directions are proposed.
Originality/value
First, the authors contribute to methodology development in international marketing by providing a “use-case” for computer-aided text mining in a multi-lingual context. Second, the authors add to the knowledge on differences in COVID-19-related consumer sentiments in different countries. Third, the authors provide avenues for future research on the analysis of unstructured multi-media posts.
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Social media allow for observing different aspects of human behaviour, in particular, those that can be evaluated from explicit user expressions. Based on a data set of posts with…
Abstract
Purpose
Social media allow for observing different aspects of human behaviour, in particular, those that can be evaluated from explicit user expressions. Based on a data set of posts with user opinions collected from social media, this paper aims to show an insight into how the readers of different news portals react to online content. The focus is on users’ emotions about the content, so the findings of the analysis provide a further understanding of how marketers should structure and deliver communication content such that it promotes positive engagement behaviour.
Design/methodology/approach
More than 5.5 million user comments to posted messages from 15 worldwide popular news portals were collected and analysed, where each post was evaluated based on a set of variables that represent either structural (e.g. embedded in intra- or inter-message structure) or behavioural (e.g. exhibiting a certain behavioural pattern that appeared in response to a posted message) component of expressions. The conclusions are based on a set of regression models and exploratory factor analysis.
Findings
The findings show and theorise the influence of social media content on emotional user engagement. This provides a more comprehensive understanding of the engagement attributed to social media content and, consequently, could be a better predictor of future behaviour.
Originality/value
This paper provides original data analysis of user comments and emotional reactions that appeared on social media news websites in 2018.
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Nishant Agarwal and Amna Chalwati
The authors examine the role of analysts’ prior experience of forecasting for firms exposed to epidemics on analysts’ forecast accuracy during the COVID-19 pandemic.
Abstract
Purpose
The authors examine the role of analysts’ prior experience of forecasting for firms exposed to epidemics on analysts’ forecast accuracy during the COVID-19 pandemic.
Design/methodology/approach
The authors examine the impact of analysts’ prior epidemic experience on forecast accuracy by comparing the changes from the pre-COVID-19 period (calendar year 2019) to the post-COVID period extending up to March 2023 across HRE versus non-HRE analysts. The authors consider a full sample (194,980) and a sub-sample (136,836) approach to distinguish “Recent” forecasts from “All” forecasts (including revisions).
Findings
The study's findings reveal that forecast accuracy for HRE analysts is significantly higher than that for non-HRE analysts during COVID-19. Specifically, forecast errors significantly decrease by 0.6% and 0.15% for the “Recent” and “All” forecast samples, respectively. This finding suggests that analysts’ prior epidemic experience leads to an enhanced ability to assess the uncertainty around the epidemic, thereby translating to higher forecast accuracy.
Research limitations/implications
The finding that the expertise developed through an experience of following high-risk firms in the past enhances analysts’ performance during the pandemic sheds light on a key differentiator that partially explains the systematic difference in performance across analysts. The authors also show that industry experience alone is not useful in improving forecast accuracy during a pandemic – prior experience of tracking firms during epidemics adds incremental accuracy to analysts’ forecasts during pandemics such as COVID-19.
Practical implications
The study findings should prompt macroeconomic policymakers at the national level, such as the central banks of countries, to include past epidemic experiences as a key determinant when forecasting the economic outlook and making policy-related decisions. Moreover, practitioners and advisory firms can improve the earning prediction models by placing more weight on pandemic-adjusted forecasts made by analysts with past epidemic experience.
Originality/value
The uncertainty induced by the COVID-19 pandemic increases uncertainty in global financial markets. Under such circumstances, the importance of analysts’ role as information intermediaries gains even more importance. This raises the question of what determines analysts’ forecast accuracy during the COVID-19 pandemic. Building upon prior literature on the role of analyst experience in shaping analysts’ forecasts, the authors examine whether experience in tracking firms exposed to prior epidemics allows analysts to forecast more accurately during COVID-19. The authors find that analysts who have experience in forecasting for firms with high exposure to epidemics (H1N1, Zika, Ebola, and SARS) exhibit higher accuracy than analysts who lack such experience. Further, this effect of experience on forecast accuracy is more pronounced while forecasting for firms with higher exposure to the risk of COVID-19 and for firms with a poor ex-ante informational environment.
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