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Speculate against speculative demand

Allbwn ymchwil: Cyfraniad at gyfnodolyn › Erthygl › adolygiad gan gymheiriaid

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Speculate against speculative demand. / ap Gwilym, O.M.; Ap Gwilym, O.; Kita, A. et al.
Yn: International Review of Financial Analysis, Cyfrol 34, 26.03.2014, t. 212-221.

Allbwn ymchwil: Cyfraniad at gyfnodolyn › Erthygl › adolygiad gan gymheiriaid

HarvardHarvard

ap Gwilym, OM, Ap Gwilym, O, Kita, A & Wang, Q 2014, 'Speculate against speculative demand', International Review of Financial Analysis, cyfrol. 34, tt. 212-221. https://doi.org/10.1016/j.irfa.2014.03.001

APA

ap Gwilym, O. M., Ap Gwilym, O., Kita, A., & Wang, Q. (2014). Speculate against speculative demand. International Review of Financial Analysis, 34, 212-221. https://doi.org/10.1016/j.irfa.2014.03.001

CBE

ap Gwilym OM, Ap Gwilym O, Kita A, Wang Q. 2014. Speculate against speculative demand. International Review of Financial Analysis. 34:212-221. https://doi.org/10.1016/j.irfa.2014.03.001

MLA

ap Gwilym, O.M. et al. "Speculate against speculative demand". International Review of Financial Analysis. 2014, 34. 212-221. https://doi.org/10.1016/j.irfa.2014.03.001

VancouverVancouver

ap Gwilym OM, Ap Gwilym O, Kita A, Wang Q. Speculate against speculative demand. International Review of Financial Analysis. 2014 Maw 26;34:212-221. doi: 10.1016/j.irfa.2014.03.001

Author

ap Gwilym, O.M. ; Ap Gwilym, O. ; Kita, A. et al. / Speculate against speculative demand. Yn: International Review of Financial Analysis. 2014 ; Cyfrol 34. tt. 212-221.

RIS

TY - JOUR

T1 - Speculate against speculative demand

AU - ap Gwilym, O.M.

AU - Ap Gwilym, O.

AU - Kita, A.

AU - Wang, Q.

PY - 2014/3/26

Y1 - 2014/3/26

N2 - Measuring individual investors' speculative demand for stocks using the Google search volume index (hereafter “SVI”) on penny stocks, we examine how it relates to the return dynamics of U.S. stock indices. Speculative demand leads to a short-term return reversal. A simple trading strategy that sells a stock index when SVI is high and buys it otherwise generates annual excess returns of up to 20% over the buy-and-hold strategy. Applying the trading strategy to the corresponding ETFs and index futures yields similar results. Transaction costs, liquidity risk and strong time variation of the excess returns can potentially limit the exploitation of arbitrage opportunities.

AB - Measuring individual investors' speculative demand for stocks using the Google search volume index (hereafter “SVI”) on penny stocks, we examine how it relates to the return dynamics of U.S. stock indices. Speculative demand leads to a short-term return reversal. A simple trading strategy that sells a stock index when SVI is high and buys it otherwise generates annual excess returns of up to 20% over the buy-and-hold strategy. Applying the trading strategy to the corresponding ETFs and index futures yields similar results. Transaction costs, liquidity risk and strong time variation of the excess returns can potentially limit the exploitation of arbitrage opportunities.

U2 - 10.1016/j.irfa.2014.03.001

DO - 10.1016/j.irfa.2014.03.001

M3 - Article

VL - 34

SP - 212

EP - 221

JO - International Review of Financial Analysis

JF - International Review of Financial Analysis

SN - 1057-5219

ER -