آی اس آی پیپر

دانلود رایکان مقاله انگلیسی ISI با موضوع تجارت crowded در سهام فردی، اهداف سرمایه گذاری در سهام فردی و برگشت مازاد

عنوان فارسی مقاله:

تجارت crowded در سهام فردی، اهداف سرمایه گذاری در سهام فردی و برگشت مازاد

عنوان انگلیسی مقاله:

Individual stock crowded trades, individual stock investor sentiment and excess returns

دانلود رایگان مقاله ISI با فرمت PDF:

مشاهده توضیحات کامل و خرید ترجمه فارسی با فرمت ورد تایپ شده:

بخشی از مقاله انگلیسی :

3. Preliminary analyses

The primary data for our study consist of the 183 current components of the CSI 300 Index from 1 April 2005 to 30 September 2014. Specifically, we restrict the sample to stocks which have to be present at the beginning and at the end of the year in both the CSI 300 Index and RESSET1 database in any given year. We start from 2005 because the State Council of China approved the reform of the shareholder structure in 2005. According to Fig.1, the average returns of 183 stocks comove with the returns of Shenzhen Composite Index, the returns of Shanghai Composite Index, and the returns of CSI 300 Index from April 2005 to September 2014, therefore, the results of analysis are generalizable even if the analysis is only conducted over 183 different stocks of the CSI 300 Index.2 Specifically, we use RESSET to obtain stock prices, stock returns, and risk free rate data. We obtain daily returns on risk factors which include RMRFt (market excess returns), SMBt (small-minus-big firm returns), and HMLt (high-minus-low returns) in RESSET database. Specifically, the Fama-French three factors of China Stock Markets are computed using Chinese stock returns based on the method of Fama and French (1993). Furthermore, we use RESSET to obtain the relative strength index (RSIi;t), psychological line index (PSYi;t), trading volume (VOLi;t) and turnover rate data to measure the individual stock investor sentiment (Si;t). Finally, we use Wind3 to obtain the shares outstanding, the total buyer-initiated volume (BVi;t), and the total seller-initiated volume (SVi;t) data, and further measure the individual stock crowded-trade indexes. Specifically, the individual stock crowded-trade indexes consist of the individual stock crowded-trade index (Ci;t), the individual stock buyerinitiated crowded-trade index (Cb i;t), the individual stock seller-initiated crowded-trade index (Cs i;t).