Kim, Jun Sik; Ryu, Doojin; Seo, Sung Won - In: Journal of Banking & Finance 42 (2014) C, pp. 166-178
This study examines the influence of investor sentiment on the relationship between disagreement among investors and … future stock market returns. We find that the relationship between disagreement and future stock market returns time …-varies with the degree of investor sentiment. Higher disagreement among investors’ opinions predicts significantly lower future …