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American Economic Journal: Microeconomics, 2010 We consider a general class of games that have been used to model many economic problems where players' sentiments are believed to play an important role. Dropping the common prior assumption, we identify the relevant notion of sentiments for strategic behavior in these games.
Izmalkov, Sergei, Yildiz, Muhamet
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Market Response to Investor Sentiment [PDF]
Journal of Business Finance & Accounting, 2010 AbstractThis paper reconsiders the effect of investor sentiment on stock prices. Our main contribution is that, in addition to the intermediate term return predictability, we also analyze the immediate price reaction to the publication of survey‐based investor sentiment indicators.
Hengelbrock, Jördis +2 more
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An enhanced investor sentiment index*
The European Journal of Finance, 2023 We propose an enhancement to the well-known market-based investor sentiment index by Baker, M., and J. Wurgler. (2006. “Investor Sentiment and the Cross-Section of Stock Returns.” The Journal of Finance 61 (4): 1645–1680). The low forecasting power of that index for future aggregate stock market returns has long been a puzzle, and we demonstrate that ...
Sze Nie Ung +2 more
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Real Estate Management and Valuation, 2023 While prior studies have examined the predictive effect of macroeconomic and country risk components on property stock index dynamics, limited explanations exist in the literature regarding the time-varying effect of investor sentiment on housing prices.
Muzindutsi Paul-Francois +3 more
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Dynamic Spillover Effects of Investor Sentiment and Return between China and the United States
Discrete Dynamics in Nature and Society, 2021 As the two largest economies in the world, the investor sentiment and stock return of China and the United States are the focus of global attention. In this paper, we study the dynamic spillover effects of investor sentiment and return between China and ...
Ping Zhang +3 more
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Decomposing the Investor Sentiment
SSRN Electronic Journal, 2018 This paper analyzes the components of the influential Baker and Wurgler (BW) indices of investor sentiment and their contribution to the volatility of U.S. stock portfolios. Using the Klein ? Chow (2013) symmetric method of variance decomposition, we orthogonalize the five proxies of sentiment (dividend premium, first-day return on IPOs, number of IPOs,
Rudolf Klein, Alina Klein
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Asymmetric Effect of Investor Sentiment and Its Volatility on Trading Volume and Stock Returns: Evidence from the Tehran Stock Exchange [PDF]
تحقیقات مالیObjectiveIn recent years, there has been a paradigm shift from traditional approaches to behavioral finance perspectives. Behavioral finance, or colloquially investor sentiment, has gained popularity as a modern approach to asset pricing due to empirical
Mojtaba Rostami Noroozabad +2 more
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Cogent Economics & Finance, 2022 This study investigated the impact of investor sentiment impact on sectoral returns and their volatility on the Johannesburg Stock Exchange using a proxy-based composite investor sentiment index and generalised autoregressive conditional ...
Hilary Tinotenda Muguto +7 more
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The Effect of Online Investor Sentiment on Stock Movements: An LSTM Approach
Complexity, 2020 With more and more investors exerting their voices through network forums or social media platforms, the relationships between online investor sentiment and stock movements have drawn more and more attention.
Gaoshan Wang, Guangjin Yu, Xiaohong Shen
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The development of composite sentiment index in Indonesia based on the internet-available data
Cogent Economics & Finance, 2019 The development of internet technology raises new sentiment measures used to predict stock market return. This raises a new problem because we must choose carefully which sentiment measures to be used to predict stock market return because various ...
A. Rizkiana +3 more
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