Journal ArticleDOI
Investor sentiment and the near-term stock market
TLDR
In this paper, the authors investigate investor sentiment and its relation to near-term stock market returns and find that many commonly cited indirect measures of sentiment are related to direct measures (surveys) of investor sentiment.About:
This article is published in Journal of Empirical Finance.The article was published on 2004-01-01. It has received 896 citations till now. The article focuses on the topics: Stock market & Stock (geology).read more
Citations
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Investor sentiment and the cross-section of stock returns
Malcolm Baker,Jeffrey Wurgler +1 more
TL;DR: The authors study how investor sentiment affects the cross-section of stock returns and find that when sentiment is low, subsequent returns are relatively high for small stocks, young stocks, high volatility stocks, unprofitable stocks, non-dividend-paying stocks, extreme growth stocks, and distressed stocks.
Journal ArticleDOI
Investor Sentiment in the Stock Market
Malcolm Baker,Jeffrey Wurgler +1 more
TL;DR: In this article, the authors develop a top-down approach to measure investor sentiment and quantify its effects, and show that it is quite possible to measure sentiment and that waves of sentiment have clearly discernible, important, and regular effects on individual firms and on the stock market as a whole.
Journal ArticleDOI
Investor Sentiment and the Cross-Section of Stock Returns
TL;DR: This article examined how investor sentiment affects the cross-section of stock returns and found that when sentiment is low, subsequent returns are relatively high on smaller stocks, high volatility stocks, unprofitable stocks, non-dividend-paying stocks, extreme-growth stocks, and distressed stocks, consistent with an initial underpricing of these stocks.
Journal ArticleDOI
Investor Sentiment and Asset Valuation
TL;DR: In this article, the link between asset valuation and investor sentiment is investigated and it is shown that market pricing errors implied by an independent valuation model are positively related to sentiment, while future returns over multi-year horizons are negatively related with sentiment, and the results are robust to the inclusion of other variables that have been shown to forecast stock returns.
References
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Journal ArticleDOI
A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
TL;DR: In this article, a parameter covariance matrix estimator which is consistent even when the disturbances of a linear regression model are heteroskedastic is presented, which does not depend on a formal model of the structure of the heteroSkewedness.
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Common risk factors in the returns on stocks and bonds
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors identify five common risk factors in the returns on stocks and bonds, including three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity.
ReportDOI
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
Whitney K. Newey,Kenneth D. West +1 more
TL;DR: In this article, a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.
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