Market response to investor sentiment [PDF]
Journal of Business Finance & Accounting, 2010 Recent empirical research suggests that measures of investor sentiment have predictive power for future stock returns over the intermediate and long term.
Hengelbrock, Jördis +2 more
core +7 more sources
A dynamic analysis of the relationship between investor sentiment and stock market realized volatility: Evidence from China. [PDF]
PLoS ONE, 2020 Investor sentiment is a research focus in behavior finance. This paper chooses five proxy variables according to China's reality and uses a two-step principal component analysis to construct an investor sentiment index.
Yanhui Chen +3 more
doaj +2 more sources
Investor Sentiment and Employment [PDF]
SSRN Electronic Journal, 2014 __Abstract__ We find that investor sentiment should affect a firm's employment policy in a world with moral hazard and noise traders. Consistent with the model's predictions, we show that higher sentiment among US investors leads to: (1) higher ...
Montone, M. (Maurizio) +1 more
core +14 more sources
Using E-GARCH to Analyze the Impact of Investor Sentiment on Stock Returns Near Stock Market Crashes [PDF]
Frontiers in Psychology, 2021 Purpose: Investor sentiment, the willingness of market participants to invest, is a difficult concept to measure. Exploring the relationship between investor sentiment and stock returns can reveal how investor sentiment affects the operation of the stock
Sze Ting Chen, Kai Yin Allison Haga
doaj +2 more sources
Global, local, and contagious investor sentiment [PDF]
Federal Reserve Bank of Dallas, Globalization and Monetary Policy Institute Working Papers, 2009 We construct indexes of investor sentiment for six major stock markets and decompose them into one global and six local indexes. Relative market sentiment is correlated with the relative prices of dual-listed companies, validating the indexes.
Jeffrey Wurgler, Malcolm Baker, Yu Yuan
core +4 more sources
Is investor sentiment contagious? International sentiment and UK equity returns [PDF]
Journal of Behavioral and Experimental Finance, 2015 This paper contributes to a growing body of literature studying investor sentiment. Separate sentiment measures for UK investors and UK institutional investors are constructed from commonly cited sentiment indicators using the first principle component ...
Bai +36 more
core +4 more sources
Individual mean-variance relation and stock-level investor sentiment
Journal of Business Economics and Management, 2017 This research studies the effect of stock-level investor sentiment on individual stock returns’ mean-variance relation. Using unique buy and sell volume data of retail investors in Korean stock market, we find that a positive mean-variance relation is ...
Jun Sik Kim, Da-Hea Kim, Sung Won Seo
doaj +2 more sources
The impact of investor sentiment for the U.S. stock market based on Fama-French 3-factor model [PDF]
E3S Web of Conferences, 2021 Particularly, it is difficult to accurately measure investor sentiment due to the inherent complexity and dynamic change. This paper tests the impact of investors’ behavior in the U.S. equity market.
Yu Sifan
doaj +1 more source
Summary of the Researches on the Influence of Investor Sentiment on Stock Returns Under the Background of Big Data [PDF]
SHS Web of Conferences, 2022 In order to analyze the promoting effect of big data technology on research results, and to explore the impact of investor sentiment on stock returns, this paper combs and summarizes the research results of domestic and foreign scholars on the impact of ...
Yang Qianyi
doaj +1 more source
Synergy between stock prices and investor sentiment in social media
Borsa Istanbul Review, 2023 The underlying assumption of using investor sentiment to predict stock prices, stock market returns, and liquidity is that of synergy between stock prices and investor sentiment. However, this synergistic relationship has received little attention in the
Qing Liu +3 more
doaj +1 more source