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Measuring investor sentiment in equity markets
Journal of Asset Management, 2006Traditional research on asset pricing has focused on fundamental, firm-specific and economy-wide factors that affect asset prices. Recently, however, some researchers have turned to investor psychology to explain asset-price behaviour. It was previously assumed that there is little correlation among the sentiments of investors. The differing sentiments
Bandopadhyaya, Arindam, Jones, Anne Leah
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Investor Sentiment Construction
2011What is a good measure of investor sentiment? Several attempts have been made to quantify investor sentiment and evaluate existing sentiment measures.
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Investors’ sentiment and accruals anomaly: European evidence
Journal of Applied Accounting Research, 2013Purpose The purpose of this paper is to examine whether investors’ sentiment affects accruals anomaly across European countries. Design/methodology/approach The authors estimate the model using Fama–MacBeth regressions. The sample includes 54,572 firm-year observations for 4,787 European firms during the period 1994–2014. Findings The authors find
Beer, Francisca +2 more
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What Determines Manager and Investor Sentiment?
SSRN Electronic Journal, 2020I find that Managerial and Investor Sentiment are determined by differing sets of economic variables, that share some common factors: Inflation, Liquidity and the Term Premium. Decomposing the Sentiment Indices, I find that the Investor Sentiment Model Component and the Managerial Sentiment Residual Component are primarily responsible for the ...
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Investor trading behavior, investor sentiment and asset prices
The North American Journal of Economics and Finance, 2015Abstract This paper examines the roles of investor trading behavior and investor sentiment on asset prices. We find that both the investor trading behavior and investor sentiment have significant effects on excess returns beyond the three factors of Fama and French (1993) , and more importantly, the investor trading behavior has more significant ...
Chunpeng Yang, Liyun Zhou
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This chapter uses the FEM algorithm of artificial intelligence (AI) to analyze the rule of investor sentiment contagion under “informational cycle cascade”. There are five big up or down phases of investor sentiment contagion for the industry average at the whole period.
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Investor Sentiment and Returns
2019According to behavioural finance theory, investors’ irrational behaviour and psychology are crucial factors that influence stock price on limited arbitrage stock market. Understanding sentiments of investors are important for two reasons. One, they teach us about biases in the stock market forecasts of investors.
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Overnight Returns: Investor Sentiment or Investor Attention?
SSRN Electronic Journal, 2022Evangelos Vagenas-Nanos +1 more
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Investor Sentiment and Global Economic Conditions
SSRN Electronic Journal, 2021Herculano, Miguel C. +1 more
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