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Massenpsychologie und Börse : So bestimmen Erwartungen und Gefühle Kursverläufe
Kitzmann, Arnold - 2009
Persistent link: https://www.econbiz.de/10004937608
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Are investor sentiments priced by the CAPM?
Verma, Rahul; Soydemir, Gökçe - In: Journal of Financial Transformation 35 (2012), pp. 57-70
In this paper, we investigate whether the international version of CAPM can price rational and irrational sentiments of … U.S. individual and institutional investor sentiments. The results show that the CAPM prices rational sentiments driven … positively related to returns predicted, as well as those not predicted by the CAPM. We also compare these findings with the …
Persistent link: https://www.econbiz.de/10010991643
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Limit pricing and entry under incomplete information : an equilibrium analysis
Milgrom, Paul; Roberts, John - In: Econometrica : journal of the Econometric Society, an … 50 (1982) 2, pp. 443-459
Persistent link: https://www.econbiz.de/10002493304
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Market response to investor sentiment
Hengelbrock, Jördis; Theissen, Erik; Westheide, Christian - Center for Financial Studies - 2011
This paper reconsiders the effect of investor sentiment on stock prices. Using survey-based sentiment indicators from Germany and the US we confirm previous findings of predictability at intermediate time horizons. The main contribution of our paper is that we also analyze the immediate price...
Persistent link: https://www.econbiz.de/10010986383
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Market Sentiment and Paradigm Shifts
Chu, Liya; He, Xue-Zhong; Li, Kai; Tu, Jun - Finance Discipline Group, Business School - 2015
equity premium predictability. Consistent with the theory of investor sentiment, we ?nd that although economic variables can …
Persistent link: https://www.econbiz.de/10011266350
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Sentiment dynamics and stock returns: the case of the German stock market
Lux, Thomas - In: Empirical Economics 41 (2011) 3, pp. 663-679
Persistent link: https://www.econbiz.de/10009400114
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Investor sentiment and return predictability in agricultural futures markets
Wang, Changyun - Volkswirtschaftliche Fakultät, … - 2000
-pressure theory, suggesting that hedgers pay risk premiums to transfer nonmarketable risks in futures markets. Moreover, it does not …
Persistent link: https://www.econbiz.de/10009647452
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Investor sentiment and return predictability of disagreement
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...
Persistent link: https://www.econbiz.de/10010753664
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Cross-Sectional Dispersion of Firm Valuations and Expected Stock Returns
Jiang, Danling - Volkswirtschaftliche Fakultät, … - 2008
This paper develops two competing hypotheses for the relation between the cross-sectional standard deviation of logarithmic firm fundamental-to-price ratios (``dispersion'') and expected aggregate returns. In models with fully rational beliefs, greater dispersion indicates greater risk and...
Persistent link: https://www.econbiz.de/10005836822
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When does investor sentiment predict stock returns?
Chung, San-Lin; Hung, Chi-Hsiou; Yeh, Chung-Ying - In: Journal of Empirical Finance 19 (2012) 2, pp. 217-240
We examine the asymmetry in the predictive power of investor sentiment in the cross-section of stock returns across economic expansion and recession states. We test the implication of behavioral theories and evidence that the return predictability of sentiment should be most pronounced in an...
Persistent link: https://www.econbiz.de/10010572331