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Stock return predictability and investor sentiment : a high-frequency perspective

Sun, Licheng; Najand, Mohammad; Shen, Jiancheng - In: Journal of banking & finance 73 (2016), pp. 147-164

Persistent link: https://www.econbiz.de/10011635681

Understanding time-varying short-horizon predictability

Hammami, Yacine; Zhu, Jie - In: Finance research letters 32 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012430744

Investor sentiment, realized volatility and stock returns

Abdelmalek, Wafa - In: Review of behavioral finance : RBF 14 (2022) 5, pp. 668-700

Persistent link: https://www.econbiz.de/10013453743

On the time-varying dynamics of stock and commodity momentum returns

Stadtmüller, Immo; Auer, Benjamin R.; Schuhmacher, Frank - In: Finance research letters 46 (2022) 2, pp. 1-10

Persistent link: https://www.econbiz.de/10013341591

Asymmetric impacts of individual investor sentiment on the time-varying risk-return relation in stock market

He, Zhifang - In: International review of economics & finance : IREF 78 (2022), pp. 177-194

Persistent link: https://www.econbiz.de/10013334559

Does investor sentiment predict bitcoin return and volatility? : a quantile regression approach

Dias, Ishanka K.; Fernando, J. M. Ruwani; Fernando, P. … - In: International review of financial analysis 84 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013472880

Predicting stock and bond market returns with emotions : evidence from futures markets

Shen, Jiancheng; Griffith, John; Najand, Mohammad; Sun, … - In: The journal of behavioral finance : a publication of … 24 (2023) 3, pp. 333-344

Persistent link: https://www.econbiz.de/10014330978

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

Investor sentiment from internet message postings and the predictability of stock returns

Kim, Soon-Ho; Kim, Dongcheol - In: Journal of economic behavior & organization : JEBO 107 (2014) 2, pp. 708-729

Persistent link: https://www.econbiz.de/10011295891

Market response to investor sentiment

Hengelbrock, Jördis; Theissen, Erik; Westheide, Christian - In: Journal of business finance & accounting : JBFA 40 (2013) 7/8, pp. 901-917

Persistent link: https://www.econbiz.de/10010205999