We use weekly survey data on short-term and medium-term sentiment of German investors in order to study the causal … tri-variate vector autoregression for short-run sentiment, medium-run sentiment and stock index returns allows to reject … medium-run sentiment, or returns form a simultaneous systems together with the two sentiment measures. An out …

This paper reconsiders the effect of investor sentiment on stock prices. Using survey-based sentiment indicators from … paper is that we also analyze the immediate price reaction to the publication of sentiment indicators. We find that the sign … consistent with sentiment being related to mispricing but is inconsistent with the alternative explanation that sentiment …