Do Investors' Sentiment Dynamics affect Stock Returns? Evidence from the US Economy

This paper contributes to the understanding of the non-linear causal linkage between investors' sentiment dynamics and stock returns for the US economy. Employing the sentiment index developed by Baker and Wurgler (J. Econ. Perspect. 16: 129-151, 2007) and within a non-linear causality framework, we found that sentiment embodies signicant predictive power with respect to stock returns.

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Year of publication:	2012-04
Authors:	Dergiades, Theologos
Subject:	Investors' sentiment \| Stock returns \| Non-linear Granger causality

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Series:	Discussion Paper Series.
Type of publication:	Book / Working Paper
Classification:	G11 - Portfolio Choice ; G14 - Information and Market Efficiency; Event Studies ; C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010729120