In this paper we assess the effect of a high frequency investor sentiment measure, captured by aggregating search volume indices (SVI) for a set of economically negative and relevant search terms and its effect on returns of cross-listed securities indices. Similar to US stock returns, the ADR's...

In this paper, we employ econometric techniques to examine the impact of political variables on investor sentiment, stock market returns, and the covariance between investor sentiment and equity returns. Similar to prior studies our results indicate that stock market returns are higher during...

This paper studies the impact of a high-frequency investor sentiment measure (New FEARS) on the returns of foreign securities listed in U.S. markets as American Depository Receipts (ADRs). We recreate a high-frequency investor sentiment measure by aggregating search volume indices (SVIs) for a...