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An Empirical Study of the Effect of Investor Sentiment on Returns of Different Industries
15 references·6 citing·42 second hopsampled
An Empirical Study of the Effect of Investor Sentiment on Returns of Different Industries (2014)An Empirical Study of the Effect of Inves…A Markov-switching multifractal inter-trade duration model, with application to US equities (2013)A Markov-switching multifract…The short of it: Investor sentiment and anomalies (2011)The short of it: Investor sen…Minimal state variable solutions to Markov-switching rational expectations models (2011)Minimal state variable soluti…Global, local, and contagious investor sentiment (2011)Global, local, and contagious…Measuring investor sentiment with mutual fund flows (2010)Measuring investor sentiment …Structural vector autoregressions with Markov switching (2009)Structural vector autoregress…Noise Trading, Investor Sentiment Volatility, and Stock Returns (2009)Noise Trading, Investor Senti…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Consumer Confidence and Asset Prices: Some Empirical Evidence (2006)Consumer Confidence and Asset…Investor Sentiment and Asset Valuation (2005)Investor Sentiment and Asset …Stock market volatility, excess returns, and the role of investor sentiment (2002)Stock market volatility, exce…Investor Sentiment and the Closed‐End Fund Puzzle (1991)Investor Sentiment and the Cl…Investor Sentiment and the Closed-End Fund Puzzle (1991)Investor Sentiment and the Cl…Stock Market Volatility (1990)Stock Market VolatilityPositive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Positive Feedback Investment …The impact of Twitter-based sentiment on US sectoral returns (2022)The impact of Twitter-based s…The impact of investor sentiment on sectoral returns and volatility: Evidence from the Johannesburg stock exchange (2022)The impact of investor sentim…Research on corporate financial performance prediction based on self‐organizing and convolutional neural networks (2022)Research on corporate financi…The dynamics of cryptocurrency market behavior: sentiment analysis using Markov chains (2021)The dynamics of cryptocurrenc…Predicting the effect of Googling investor sentiment on Islamic stock market returns (2020)Predicting the effect of Goog…Anticipating Corporate Financial Performance from CEO Letters Utilizing Sentiment Analysis (2020)Anticipating Corporate Financ…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Traders' Expectations in Asset Markets: Experimental Evidence (2007)The impact of microblogging data for stock market prediction: Using Twitter to predict returns, volatility, trading volume and survey sentiment indices (2016)COVID–19’s Impact on Stock Prices Across Different Sectors—An Event Study Based on the Chinese Stock Market (2020)Economic Forces and the Stock Market (1986)Dividend yields and expected stock returns (1988)Noise Trader Risk in Financial Markets (1990)Herding and Feedback Trading by Institutional and Individual Investors (1999)Retail Investor Sentiment and Return Comovements (2006)Does Academic Research Destroy Stock Return Predictability? (2015)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon (1999)The Impact of Jumps in Volatility and Returns (2001)The global financial crisis, financial linkages and correlations in returns and volatilities in emerging MENA stock markets (2012)The General Theory of Employment, Interest and Money. (1936)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects (2018)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014)Mispricing Factors (2016)Continuous Auctions and Insider Trading (1985)Does the Stock Market Overreact? (1985)The impact of institutional trading on stock prices (1992)Investor Psychology and Asset Pricing (2001)Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)Sentiment During Recessions (2012)Investor sentiment and stock returns: Some international evidence (2009)Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2015)The Equity Share in New Issues and Aggregate Stock Returns (2000)Sports Sentiment and Stock Returns (2007)Individual Investor Trading and Stock Returns (2008)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 1990Positive Feedback Investment Strategies and Destabilizing Rational Speculation2,197 cited
  • 2011The short of it: Investor sentiment and anomalies1,781 cited
  • 1991Investor Sentiment and the Closed-End Fund Puzzle1,508 cited
  • 1991Investor Sentiment and the Closed‐End Fund Puzzle1,284 cited
  • 2005Investor Sentiment and Asset Valuation1,092 cited
  • 2011Global, local, and contagious investor sentiment1,021 cited
  • 2006Consumer Confidence and Asset Prices: Some Empirical Evidence961 cited
  • 2002Stock market volatility, excess returns, and the role of investor sentiment700 cited
  • 1990Stock Market Volatility384 cited
  • 2010Measuring investor sentiment with mutual fund flows374 cited
  • 2009Structural vector autoregressions with Markov switching224 cited
  • 2011Minimal state variable solutions to Markov-switching rational expectations models178 cited
  • 2009Noise Trading, Investor Sentiment Volatility, and Stock Returns60 cited
  • 2013A Markov-switching multifractal inter-trade duration model, with application to US equities51 cited

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Cited by

  • 2022The impact of Twitter-based sentiment on US sectoral returns29 cited
  • 2020Predicting the effect of Googling investor sentiment on Islamic stock market returns25 cited
  • 2020Anticipating Corporate Financial Performance from CEO Letters Utilizing Sentiment Analysis23 cited
  • 2021The dynamics of cryptocurrency market behavior: sentiment analysis using Markov chains23 cited
  • 2022The impact of investor sentiment on sectoral returns and volatility: Evidence from the Johannesburg stock exchange22 cited
  • 2022Research on corporate financial performance prediction based on self‐organizing and convolutional neural networks17 cited