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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Effects of investor sentiment on stock volatility: new evidences from multi-source data in China’s green stock markets [PDF]
Financial Innovation, 2022 The effect of investor sentiment on stock volatility is a highly attractive research question in both the academic field and the real financial industry.
Yang Gao +3 more
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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
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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
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Investor Sentiment and Accounting Conservatism
Accounting Horizons, 2017 SYNOPSIS This paper investigates the association between investor sentiment and accounting conservatism. We find that managers recognize economic losses in earnings in a more timely manner during periods of high investor sentiment. Further, the sentiment-conservatism relation is stronger for firms with greater sentiment-price sensitivity.
Rui Ge +2 more
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International Review of Economics & FinanceWe propose a new investor sentiment index by estimating the differences between moments from realized stock returns and option-implied moments. Validating the Relative Investor Sentiment index, we show that the index is correlated with other proxies, exhibits known patterns of stock market reactions to sentiment shocks, is stronger for hard-to ...
Xiang Gao +3 more
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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
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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
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Investigating the Effect of Moderating Managerial Ability on the Relationship between Investor Sentiment and Accounting Conservatism [PDF]
بررسیهای حسابداری و حسابرسی, 2021 Objective: Accounting conservatism, as a factor that leads to the timely identification of bad news and the delay of good news, is able to control and to some extent reduce the investor sentiment.
Yahya Kamyabi, Amir Javady Nia
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Impact of investor sentiment on firm innovation: Evidence from textual analysis
Borsa Istanbul Review, 2023 The paper examines whether and how investor sentiment affects corporate innovation. The study finds a statistically significant relationship between investor sentiment and firm innovation.
Zihao Lin
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