Working Papers:

  1. The Up Side of Being Down: Depressive Realism and Analyst Forecast Accuracy
    with Sima Jannati and Sarah Khalaf , 2020.

    This paper tests the depressive realism hypothesis using earnings forecasts from Estimize. The hypothesis states that mild depression improves judgment tasks by tempering overoptimism or increasing rumination. We find that a 1-standard-deviation increase in the segment of the U.S. population with depression leads to, on average, a 0.25% increase in future forecast accuracy, supporting the hypothesis. This impact is comparable to other determinants of Estimize users’ accuracy and is robust to alternative measures and explanations. We find that reduced optimism is primarily how depression improves accuracy. We contribute to the literature by linking negative integral emotions to financial decision making.
    • Presented at: University of Missouri 2020, SWFA 2021*, World Finance Conference 2021*
  2. * denotes presentation by co-author.

Publications:

  1. Search-based Sentiment and Stock Market Reactions: An Empirical Evidence in Vietnam
    with Minh Pham (Journal of Asian Finance, Economics, and Business, 2018)

    The paper aims to examine relationships between search-based sentiment and stock market reactions in Vietnam. This study constructs an internet search-based measure of sentiment and examines its relationship with Vietnamese stock market returns. The sentiment index is derived from Google Trends’ Search Volume Index of financial and economic terms that Vietnamese searched from January 2011 to June 2018. Consistent with prediction from sentiment theories, the study documents significant short-term reversals across three major stock indices. The difference from previous literature is that Vietnam stock market absorbs the contemporaneous decline slower while the subsequent rebound happens within a day. The results of the study suggest that the sentiment-induced effect is mainly driven by pessimism. On the other hand, optimistic investors seem to delay in taking their investment action until the market corrects. The study proposes a unified explanation for our findings based on the overreaction hypothesis of the bearish group and the strategic delay of the optimistic group. The findings of the study contribute to the behavioral finance strand that studies the role of sentiment in emerging financial markets, where noise traders and limits to arbitrage are more obvious. They also encourage the continuous application of search data to explore other investor behaviors in securities markets.