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Social Network Characteristics and the Evolution of Investor Sentiment

  • Nicholas S. P. Tay
Conference paper
Part of the Agent-Based Social Systems book series (ABSS, volume 6)

Abstract

This paper creates a bare bone model to understand how network characteristics such as the richness of the information environment, tendency for investors to extrapolate past data and social influence affect the transmission and evolution of investor sentiment within the network. Our results replicate qualitatively the empirical characteristics of actual investor sentiment documented by [1].

Key words

Agent based model social network investor sentiment 

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References

  1. 1.
    Das, S., A. Martinez-Jerez, and P. Tufano. (2005). e-Information: A Clinical Study of Investor Discussion and Sentiment. Financial Management, 34(3), 103–137.CrossRefGoogle Scholar
  2. 2.
    De Bondt, W., and R. Thaler. (1985). Does the Stock Market Overreact? Journal of Finance, 40(3), 793–805.CrossRefGoogle Scholar
  3. 3.
    Lakonishok, J.,A. Shleifer, and R. Vishny. (1994). Contrarian Investment, Extrapolation, and Risk. Journal of Finance, 49(5), 1541–1578.CrossRefGoogle Scholar
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    Kroll, Y., H. Levy, and A. Rapoport. (1988). Experimental Test of the Mean-Variance Model for Portfolio Selection. Organizational Behavior and Human Decision Processes, 42(3), 388–410CrossRefGoogle Scholar

Copyright information

© Springer 2009

Authors and Affiliations

  • Nicholas S. P. Tay
    • 1
  1. 1.School of Business and ManagementUniversity of San FranciscoUSA

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