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Investor Sentiment, Stock Characteristics, and Returns
The Journal of Portfolio Management, 2011Why were the returns of stocks with low book-to-market ratios and high market capitalizations lower, on average, than the returns of stocks with high book-to-market ratios and low market capitalizations? In this paper we pit the characteristics hypothesis against the affect hypothesis. The characteristics hypothesis says that some characteristics, such
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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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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 ATTENTION AND SENTIMENT [PDF]
, 2015 Investor sentiment and attention are often linked to the same non-economic events making it difficult to understand why and how asset prices are affected. This thesis disentangles these two potential drivers of market behaviour by studying how investors react to sports outcomes, weather conditions and merger and acquisition announcements.
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Sensitivity to Investor Sentiment and Investor Behavior
Korean Business Education Review, 2022openaire +1 more source
Firm-specific investor sentiment and stock price crash risk
Finance Research Letters, 2021Junhui Fu, Yufang Liu
exaly
Overnight Returns: Investor Sentiment or Investor Attention?
SSRN Electronic Journal, 2022Evangelos Vagenas-Nanos +1 more
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