We test the predictive ability of investor sentiment on the return and volatility at the aggregate market level in the U.S., four largest European countries and three Asia-Pacific countries. We find that in the U.S., France and Italy periods of high consumer confidence levels are followed by low market returns. In Japan both the level and the change in consumer confidence boost the market return in the next month. Further, shifts in sentiment significantly move conditional volatility in most of the countries, and in Italy such impacts lead to an increase in returns by 4.7% in the next month
Investor sentiment is an important aspect of behavioral finance, which provides explanations to anom...
This paper investigates the link between investor sentiment and stock returns in emerging Asian mark...
Cahier de recherche n° 2010-08 E2We test the impact of investor sentiment on a panel of internationa...
We test the predictive ability of investor sentiment on the return and volatility at the aggregate m...
We test the predictive ability of investor sentiment on the return and volatility at the aggregate m...
We examine whether consumer confidence – as a proxy for individual investor sentiment – affects expe...
This paper examines the return predictability of investor sentiment in 12 Asian and European markets...
This paper investigates how investor sentiment affects stock market returns and evaluates the predic...
We investigate the predictability of stock returns in the financial market for a large panel of deve...
We assess the impact of investor sentiment on future stock returns in 50 global stock markets. Using...
We assess the impact of investor sentiment on future stock returns in 50 global stock markets. Using...
We assess the impact of investor sentiment on future stock returns in 50 global stock markets. Using...
Employing data from Australia, Hong Kong, and Japan over the period between January 2004 to December...
Employing data from Australia, Hong Kong, and Japan over the period between January 2004 to December...
YesWe assess the impact of investor sentiment on future stock returns in 50 global stock markets. Us...
Investor sentiment is an important aspect of behavioral finance, which provides explanations to anom...
This paper investigates the link between investor sentiment and stock returns in emerging Asian mark...
Cahier de recherche n° 2010-08 E2We test the impact of investor sentiment on a panel of internationa...
We test the predictive ability of investor sentiment on the return and volatility at the aggregate m...
We test the predictive ability of investor sentiment on the return and volatility at the aggregate m...
We examine whether consumer confidence – as a proxy for individual investor sentiment – affects expe...
This paper examines the return predictability of investor sentiment in 12 Asian and European markets...
This paper investigates how investor sentiment affects stock market returns and evaluates the predic...
We investigate the predictability of stock returns in the financial market for a large panel of deve...
We assess the impact of investor sentiment on future stock returns in 50 global stock markets. Using...
We assess the impact of investor sentiment on future stock returns in 50 global stock markets. Using...
We assess the impact of investor sentiment on future stock returns in 50 global stock markets. Using...
Employing data from Australia, Hong Kong, and Japan over the period between January 2004 to December...
Employing data from Australia, Hong Kong, and Japan over the period between January 2004 to December...
YesWe assess the impact of investor sentiment on future stock returns in 50 global stock markets. Us...
Investor sentiment is an important aspect of behavioral finance, which provides explanations to anom...
This paper investigates the link between investor sentiment and stock returns in emerging Asian mark...
Cahier de recherche n° 2010-08 E2We test the impact of investor sentiment on a panel of internationa...