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Rational Investor Sentiment [PDF]
SSRN Electronic Journal, 2002 Working paper / Institute for Empirical Research in Economics ...
Gerber, Anke, Hens, Thorsten, Vogt, Bodo
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Investor sentiment and trading behavior [PDF]
Chaos: An Interdisciplinary Journal of Nonlinear Science, 2020 The aim of this paper is to model trading decisions of financial investors based on a sentiment index. For this purpose, we analyze a dynamical model, which includes the sentiment index in the agents’ trading behavior. We consider the setup of a discrete dynamical system, assuming that in financial markets, transactions take place between two groups of
Campisi G., Muzzioli S.
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The Interactive Effect of lawsuits and Investor Sentiment on Accounting Conservatism [PDF]
فصلنامه بورس اوراق بهادار, 2021 Objective: Inappropriate response of executives to investor sentiment can lead to litigation and misallocation of funds, for this reason, companies set up conservative accounting in response to investor sentiment.
masoud taherinia +2 more
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Investor Sentiment Index and Option Price Volatility Based on MIDAS Model: Evidence from China [PDF]
SHS Web of Conferences, 2021 The paper selects the transaction data of the option market and network data from June 1, 2015 to February 2, 2018. The principal component analysis is adopted to construct investor sentiment index.
Xiao Haiyan, Hao Yingxin, Wu Sirong
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Sensitivity of economic policy uncertainty to investor sentiment [PDF]
, 2019 A series of global financial crises in 21st century, steep economic decline and slow recoveries have intensified the concern of regulatory bodies for economic policy certainty.
Rehman, Mobeen Ur, Apergis, Nicholas
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Environmental Regulation, Sentiment, and Eco-Innovation: Evidence From China
Frontiers in Environmental Science, 2022 This study aims to shed light on the effects of environmental regulation on China’s eco-innovation driven by investor sentiment and public sentiment from 2003 to 2017.
Yunpeng Sun +3 more
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On the construction of Chinese stock market investor sentiment index
Cogent Economics & Finance, 2017 Measuring investor sentiment has become one of the most widely examined areas in behavioral finance. For the purpose of measuring investor sentiment more accurately, we classify the investor sentiment proxy into six market dimensions for the first time ...
Gang He, Shuzhen Zhu, Haifeng Gu
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THE ASYMMETRIC EFFECTS OF INVESTOR SENTIMENT [PDF]
Macroeconomic Dynamics, 2015 We use the returns on lottery-like stocks and a dynamic factor model to construct a novel index of investor sentiment. This new measure is highly correlated with other behavioral indicators, but more closely tracks speculative episodes. Our main new finding is that the effects of sentiment are asymmetric: During peak-to-trough periods of investor ...
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Investor Sentiment and Stock Price Crash Risk in the Chinese Stock Market
Journal of Mathematics, 2021 This paper uses the partial least squares method to construct the investor sentiment index in Chinese stock market. The Shanghai Stock Exchange 180 Index and the Shenzhen Stock Exchange 100 Index are used as samples.
Binghui Wu, Yuanman Cai, Mengjiao Zhang
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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
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