2017-05-07 06:39:00 Sun ET
stock market gold oil stock return s&p 500 asset market stabilization asset price fluctuations stocks bonds currencies commodities funds term spreads credit spreads fair value spreads asset investments
While the original five-factor asset pricing model arises from a quasi-lifetime of top empirical research by Nobel Laureate Eugene Fama and his long-time co-author Kenneth French, the sixth factor is hypothetical in nature and stems from bullish-versus-bearish investor sentiment on social media.
In addition to the conventional fundamental factors such as size, value, market risk, operating profitability, and asset growth, the social media factor serves as a new measure of investor sentiment.
All these factors help explain the time-series variation in most U.S. stock returns relative to the risk-free rate.
Whether this additional social media factor represents exposure to systematic risk remains a debatable controversy because there is now minimal consensus on this open issue.
Several financial economists recommend raising the empirical hurdle for novel fundamental factors such as this social media measure of investor sentiment.
On balance, it is informative for most stock market investors to recognize that social media conveys pivotal information about at least part of the time variation in the vast majority of U.S. stock portfolio returns ceteris paribus.
If any of our AYA Analytica financial health memos (FHM), blog posts, ebooks, newsletters, and notifications etc, or any other form of online content curation, involves potential copyright concerns, please feel free to contact us at service@ayafintech.network so that we can remove relevant content in response to any such request within a reasonable time frame.
2019-07-15 16:37:00 Monday ET

President of US-China Business Council Craig Allen states that a trade deal should be within reach if Trump and Xi show courage at G20. A landmark trade agr
2019-04-07 13:39:00 Sunday ET

CNBC news anchor Becky Quick interviews Warren Buffett in early-2019. Buffett explains the fact that book value fluctuations are a metric that has lost rele
2019-02-13 11:00:00 Wednesday ET

President Trump may reluctantly sign the congressional border wall deal in order to avert another U.S. government shutdown. With his executive power to decl
2018-07-19 18:38:00 Thursday ET

Goldman Sachs chief economist Jan Hatzius proposes designing a new Financial Conditions Index (FCI) to be a weighted-average of interest rates, exchange rat
2019-10-29 13:36:00 Tuesday ET

The OECD projects global growth to decline from 3.2% to 2.9% in the current fiscal year 2019-2020. This global economic growth projection represents the slo
2018-06-02 09:35:00 Saturday ET

The finance ministers of Britain, Canada, France, Germany, Italy, and Japan team up against U.S. President Donald Trump and Treasury Secretary Steven Mnuchi