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RISS 인기검색어
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- 저자 : Mark Salmon (검색결과 2 건)
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Sentiment, Beta Herding, and Cross-sectional Asset Returns
Soosung Hwang,Mark Salmon 한국재무학회 2013 한국재무학회 학술대회 Vol.2013 No.05
We investigate the effects of a behavioral bias in betas on cross-sectional asset returns. This bias, which we call beta herding, reflects the interaction between sentiment and herding in linear factor models. We demonstrate that beta herding is likely to arise when investors are more confident about the future direction of the market, regardless of whether the market is rising or falling, or when sentiment is high. Contrary to common belief that herding increases during market crises, our empirical evidence indicates that crises appear to lead investors to seek out the fundamental risk-return relationship rather than to herd. In terms of cross-sectional asset returns, we show evidence that beta matters conditionally on beta herding though it does not unconditionally. The conditional explanation of beta herding is distinct from other firm characteristics.
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Song, Mimi,Finkelstein, Steven L.,Ashby, Matthew L. N.,Grazian, A.,Lu, Yu,Papovich, Casey,Salmon, Brett,Somerville, Rachel S.,Dickinson, Mark,Duncan, K.,Faber, Sandy M.,Fazio, Giovanni G.,Ferguson, He American Astronomical Society 2016 The Astrophysical Journal Vol.825 No.1
<P>We present galaxy stellar mass functions (GSMFs) at z = 4-8 from a rest-frame ultraviolet (UV) selected sample of similar to 4500 galaxies, found via photometric redshifts over an area of similar to 280 arcmin(2) in the Cosmic Assembly Near-infrared Deep Extragalactic Legacy Survey (CANDELS)/Great Observatories Origins Deep Survey (GOODS) fields and the Hubble Ultra Deep Field. The deepest Spitzer/IRAC data to date and the relatively large volume allow us to place a better constraint at both the low- and high-mass ends of the GSMFs compared to previous space-based studies from pre-CANDELS observations. Supplemented by a stacking analysis, we find a linear correlation between the rest-frame UV absolute magnitude at 1500 angstrom (M-UV) and logarithmic stellar mass (log M-*) that holds for galaxies with log(M-*/M-circle dot) less than or similar to 10. We use simulations to validate our method of measuring the slope of the log M-*-M-UV relation, finding that the bias is minimized with a hybrid technique combining photometry of individual bright galaxies with stacked photometry for faint galaxies. The resultant measured slopes do not significantly evolve over z = 4-8, while the normalization of the trend exhibits a weak evolution toward lower masses at higher redshift. We combine the log M-*-M-UV distribution with observed rest-frame UV luminosity functions at each redshift to derive the GSMFs, finding that the low-mass-end slope becomes steeper with increasing redshift from alpha = -1.55(-0.07)(+0.08) at z = 4 to alpha = -2.25(-0.35)(+0.72) at z = 8. The inferred stellar mass density, when integrated over M-* = 10(8)-10(13) M-circle dot, increases by a factor of 10(-2)(+30) between z = 7 and z = 4 and is in good agreement with the time integral of the cosmic star formation rate density.</P>
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