SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Investor sentiment, information and asset pricing model
16 references·14 citing·25 second hop
Investor sentiment, information and asset pricing model (2013)Investor sentiment, information and asset…Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…The short of it: Investor sentiment and anomalies (2011)The short of it: Investor sen…Retail Investor Sentiment and Return Comovements (2006)Retail Investor Sentiment and…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Investor sentiment and the near-term stock market (2003)Investor sentiment and the ne…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)A model of investor sentiment…A model of investor sentiment / (1997)A model of investor sentiment…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Noise (1986)NoiseContinuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …Stock-level sentiment contagion and the cross-section of stock returns (2023)Stock-level sentiment contagi…The value premium and investors' appetite for risk (2022)The value premium and investo…Can news-based economic sentiment predict bubbles in precious metal markets? (2022)Can news-based economic senti…Examining the effects of news and media sentiments on volatility and correlation: Evidence from the UK (2021)Examining the effects of news…Investor sentiment and stock price: Empirical evidence from Chinese SEOs (2020)Investor sentiment and stock …Can investor sentiment predict the size premium? (2019)Can investor sentiment predic…Asymmetric dependence structures for regional stock markets: An unconditional quantile regression approach (2019)Asymmetric dependence structu…The role of stock price synchronicity on the return-sentiment relation (2018)The role of stock price synch…The cross-section and time-series effects of individual stock sentiment on stock prices (2017)The cross-section and time-se…The asymmetric effects of investor sentiment and monetary policy on stock prices (2015)The asymmetric effects of inv…Sentiment-prone investors and volatility dynamics between spot and futures markets (2014)Sentiment-prone investors and…Multi-period sentiment asset pricing model with information (2014)Multi-period sentiment asset …Two-period trading sentiment asset pricing model with information (2013)Two-period trading sentiment …Sentiment asset pricing model with consumption (2012)Sentiment asset pricing model…Market structure, information, futures markets, and price formation. (1984)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Illiquidity and stock returns: cross-section and time-series effects (2002)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)The Limits of Arbitrage (1995)Illusion and well-being: A social psychological perspective on mental health. (1988)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Capital markets research in accounting (2001)Risk, Return, and Equilibrium: Empirical Tests (1973)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Judgment under Uncertainty: Heuristics and Biases (1975)Efficient Capital Markets: II (1991)In Search of Attention (2011)Policy Uncertainty and Corporate Investment (2015)
this work references cited by second hop

References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*23,066 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,234 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 1997A model of investor sentiment /4,073 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,706 cited
  • 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.12,942 cited
  • 1986Noise1,783 cited
  • 2011The short of it: Investor sentiment and anomalies

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1,781 cited
  • 2006Retail Investor Sentiment and Return Comovements1,490 cited
  • 2003Investor sentiment and the near-term stock market1,355 cited
  • Cited by

    • 2022Can news-based economic sentiment predict bubbles in precious metal markets?42 cited
    • 2019Can investor sentiment predict the size premium?41 cited
    • 2020Investor sentiment and stock price: Empirical evidence from Chinese SEOs41 cited
    • 2015The asymmetric effects of investor sentiment and monetary policy on stock prices41 cited
    • 2012Sentiment asset pricing model with consumption30 cited
    • 2014Sentiment-prone investors and volatility dynamics between spot and futures markets28 cited
    • 2019Asymmetric dependence structures for regional stock markets: An unconditional quantile regression approach26 cited
    • 2018The role of stock price synchronicity on the return-sentiment relation24 cited
    • 2021Examining the effects of news and media sentiments on volatility and correlation: Evidence from the UK22 cited
    • 2017The cross-section and time-series effects of individual stock sentiment on stock prices20 cited
    • 2023Stock-level sentiment contagion and the cross-section of stock returns16 cited
    • 2022The value premium and investors' appetite for risk16 cited
    • 2014Multi-period sentiment asset pricing model with information15 cited
    • 2013Two-period trading sentiment asset pricing model with information15 cited