Beaumont, Rob; Daele, Marco van; Frijns, Bart; Lehnert, … - In: Managerial Finance 34 (2008), pp. 772-785
Purpose -The purpose of this paper is to investigate the impact of individual investor sentiment on the return process and conditional volatility of three main US market indices (Dow Jones Industrial Average, S&P500 and Nasdaq100). Individual investor sentiment is measured by aggregate money...
