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Investor sentiment and stock returns: some international evidence
Schmeling, Maik - 2008
We examine whether consumer confidence - as a proxy for individual investor sentiment - affects expected stock returns internationally in 18 industrialized countries. In line with recent evidence for the U.S., we find that sentiment negatively forecasts aggregate stock market returns on average...
Persistent link: https://www.econbiz.de/10010264951
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Forecasting returns with fundamentals-removed investor sentiment
Stivers, Adam - In: International Journal of Financial Studies 3 (2015) 3, pp. 319-341
The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor...
Persistent link: https://www.econbiz.de/10011708985
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Forecasting returns with fundamentals-removed investor sentiment
Stivers, Adam - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 319-341
The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor...
Persistent link: https://www.econbiz.de/10011312208
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An examination of investor sentiment effect on G7 stock market returns
Bathia, Deven; Bredin, Donal - In: The European journal of finance 19 (2013) 9/10, pp. 909-937
Persistent link: https://www.econbiz.de/10010245651
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Investor sentiment and stock returns: Some international evidence
Schmeling, Maik - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2008
We examine whether consumer confidence - as a proxy for individual investor sentiment - affects expected stock returns internationally in 18 industrialized countries. In line with recent evidence for the U.S., we find that sentiment negatively forecasts aggregate stock market returns on average...
Persistent link: https://www.econbiz.de/10005464759
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How does the change in investor sentiment over time affect stock returns?
Ding, Cherng G.; Wang, Hung-jui; Lee, Meng-che; Hung, … - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 144-158
Persistent link: https://www.econbiz.de/10010402965
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Arbitrage and Valuation in the Market for Standard and Poor's Depositary Receipts
Ackert, Lucy; Tian, Yisong S. - 2000
stock index that trade like shares of stock. Arbitrage costs are low because these assets have low fundamental risk, low … redemption feature facilitates arbitrage so that sophisticated traders can take advantage of and eliminate mispricing. However … performance of the S&P MidCap 400 index, an index of moderate capitalization firms, and are expected to have higher arbitrage …
Persistent link: https://www.econbiz.de/10009459103
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Investor Sentiment and Stock Returns: Evidence from Turkey
CanbaÅŸ, Serpil; Serkan Yılmaz Kandır - In: Emerging Markets Finance and Trade 45 (2009) 4, pp. 36-52
This paper investigates the relation between investor sentiment and stock returns on the Istanbul Stock Exchange, employing vector autoregressive (VAR) analysis and Granger causality tests. The sample period extends from July 1997 to June 2005. In the VAR models, stock portfolio returns and...
Persistent link: https://www.econbiz.de/10008592681
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Limits to arbitrage, investor sentiment, and factor returns in international government bond markets
Zaremba, Adam; Szczygielski, Jan Jakub - In: Economic research 32 (2019) 1,2, pp. 1727-1743
Persistent link: https://www.econbiz.de/10012433862
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How Does the Change in Investor Sentiment over Time Affect Stock Returns?
Ding, Cherng G.; Wang, Hung-Jui; Lee, Meng-Che; Hung, … - In: Emerging Markets Finance and Trade 50 (2014) 2S, pp. 144-158
arbitrage constraint. The effectiveness of arbitrage, sentiment-driven mispricing, and market intervention are discussed. …
Persistent link: https://www.econbiz.de/10010812093