Measuring the Behavioural Component of the S&P 500 and its Relationship to Financial Stress and Aggregated Earnings Surprises
Measuring the Behavioural Component of the S&P 500 and its Relationship to Financial Stress and Aggregated Earnings Surprises
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DOI：
10.1111/1467-8551.12285
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发表时间：
2019-07-01
影响因子：
5.6
通讯作者：
Costola, Michele
中科院分区：
文献类型：
--
作者：
Caporin, Massimiliano;Corazzini, Luca;Costola, Michele
管理学和经济学的学者对分离市场演化的行为维度表现出越来越大的兴趣。事实上，通过提高预测的准确性和精确性，这项工作肯定会帮助公司预测经济波动，从而导致更有利可图的商业和投资战略。然而，如何从真实的市场数据中提取行为成分仍然是一个悬而未决的问题。通过使用标准普尔500指数成分股的月度收益数据，我们提出了一种贝叶斯方法来衡量市场数据在多大程度上符合前景理论（行为视角）的预测，相对于（标准）主观预期效用理论基线。我们记录了一个重要的行为组成部分，在经济衰退期间达到顶峰，并与金融波动性，市场情绪和金融压力的指标相关，具有预期的迹象。此外，行为成分减少了宏观经济公司盈利的消息，而它的反应是积极的数量令人惊讶的公告。
Scholars in management and economics have shown increasing interest in isolating the behavioural dimension of market evolution. Indeed, by improving forecast accuracy and precision, this exercise would certainly help firms to anticipate economic fluctuations, thus leading to more profitable business and investment strategies. Yet, how to extract the behavioural component from real market data remains an open question. By using monthly data on the returns of the constituents of the S&P 500 index, we propose a Bayesian methodology to measure the extent to which market data conform to what is predicted by prospect theory (the behavioural perspective), relative to the (standard) subjective expected utility theory baseline. We document a significant behavioural component that reaches its peaks during recession periods and is correlated to measures of financial volatility, market sentiment and financial stress with expected sign. Moreover, the behavioural component decreases around macroeconomic corporate earnings news, while it reacts positively to the number of surprising announcements.