کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
960885 | 1478936 | 2016 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
What explains the orange juice puzzle: Sentiment, smart money, or fundamentals?
ترجمه فارسی عنوان
چه پازل آب پرتقال توضیح می دهد: احساس، پول هوشمند، یا اصول؟
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
In the famous “orange juice puzzle,” a large amount of inexplicable price volatility arises in frozen concentrated orange juice (FCOJ) futures contracts. Temperature is considered the most important fundamental factor in this market, but its explanatory power is low and limited, so are those of various consumer and stock market sentiment measures that reflect the noise traders׳ opinions. In contrast, shifts in a survey-based index called the Consensus Bullish Sentiment Index (CBSI), which reflect the overall opinions of professional investors, provide the largest explanatory power among all measures. Further analysis reveals that bullish shifts in the CBSI are followed by higher FCOJ returns but lower conditional volatility, thus supporting the notion that the index reflects the smart money effect.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 29, June 2016, Pages 47-65
Journal: Journal of Financial Markets - Volume 29, June 2016, Pages 47-65
نویسندگان
Pin-Huang Chou, Chia-Hsun Hsieh, Carl Hsin-Han Shen,