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The asymmetric effects of investor sentiment and monetary policy on stock prices
16 references·11 citing·40 second hop
The asymmetric effects of investor sentiment and monetary policy on stock prices (2015)The asymmetric effects of investor sentim…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…Global, local, and contagious investor sentiment (2011)Global, local, and contagious…Investor sentiment and the mean–variance relation☆ (2010)Investor sentiment and the me…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…What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)What Explains the Stock Marke…Investor Sentiment and Asset Valuation (2005)Investor Sentiment and Asset …Investor sentiment and the near-term stock market (2003)Investor sentiment and the ne…Stock market volatility, excess returns, and the role of investor sentiment (2002)Stock market volatility, exce…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Monetary Policy and Asset Price Volatility (2000)Monetary Policy and Asset Pri…Stock Prices, News, and Business Conditions (1993)Stock Prices, News, and Busin…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Does investor sentiment create value for asset pricing? An empirical investigation of the KOSPI ‐listed firms (2023)Does investor sentiment creat…The Fed and the stock market: A tale of sentiment states (2022)The Fed and the stock market:…Monetary Policy Interdependency in Fisher Effect: A Comparative Evidence (2021)Monetary Policy Interdependen…The term structure effects of individual stock investor sentiment on excess returns (2020)The term structure effects of…The momentum and reversal effects of investor sentiment on stock prices (2020)The momentum and reversal eff…Market Reactions to Central Bank Interest Rate Changes: Evidence from the Chinese Stock Market* (2020)Market Reactions to Central B…Intraday sentiment and market returns (2020)Intraday sentiment and market…Investor sentiment, investor crowded-trade behavior, and limited arbitrage in the cross section of stock returns (2019)Investor sentiment, investor …Asymmetric dependence structures for regional stock markets: An unconditional quantile regression approach (2019)Asymmetric dependence structu…The cross-section and time-series effects of individual stock sentiment on stock prices (2017)The cross-section and time-se…Predictability of sustainable investments and the role of uncertainty: evidence from a non-parametric causality-in-quantiles test (2016)Predictability of sustainable…Staggered prices in a utility-maximizing framework (1983)Credit Cycles (1997)The Twin Crises: The Causes of Banking and Balance-of-Payments Problems (1999)Should Central Banks Respond to Movements in Asset Prices? (2001)House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle (2005)Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Market Integration and Contagion (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)How Sovereign Is Sovereign Credit Risk? (2011)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)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)Permanent and Temporary Components of Stock Prices (1988)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? (2011)Uncertainty about Government Policy and Stock Prices (2012)The General Theory of Employment, Interest and Money. (1936)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)An Inquiry into the Nature and Causes of the Wealth of Nations (1776)Noise Trader Risk in Financial Markets (1990)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)On Persistence in Mutual Fund Performance (1997)Media Coverage and the Cross‐section of Stock Returns (2009)… and the Cross-Section of Expected Returns (2015)Investor Psychology and Security Market Under‐ and Overreactions (1998)In Search of Attention (2011)Policy Uncertainty and Corporate Investment (2015)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing32,281 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,234 cited
  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • 2005What Explains the Stock Market's Reaction to Federal Reserve Policy?2,382 cited
  • 2011The short of it: Investor sentiment and anomalies1,781 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2006Retail Investor Sentiment and Return Comovements1,490 cited
  • 2003Investor sentiment and the near-term stock market1,355 cited
  • 2000Monetary Policy and Asset Price Volatility1,274 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 2005Investor Sentiment and Asset Valuation1,111 cited
  • 2011Global, local, and contagious investor sentiment1,039 cited
  • 2002Stock market volatility, excess returns, and the role of investor sentiment700 cited
  • 2010Investor sentiment and the mean–variance relation☆694 cited

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1993
Stock Prices, News, and Business Conditions
675 cited

Cited by

  • 2020Intraday sentiment and market returns28 cited
  • 2016Predictability of sustainable investments and the role of uncertainty: evidence from a non-parametric causality-in-quantiles test27 cited
  • 2019Investor sentiment, investor crowded-trade behavior, and limited arbitrage in the cross section of stock returns27 cited
  • 2019Asymmetric dependence structures for regional stock markets: An unconditional quantile regression approach26 cited
  • 2020The momentum and reversal effects of investor sentiment on stock prices26 cited
  • 2023Does investor sentiment create value for asset pricing? An empirical investigation of the KOSPI ‐listed firms24 cited
  • 2022The Fed and the stock market: A tale of sentiment states22 cited
  • 2017The cross-section and time-series effects of individual stock sentiment on stock prices20 cited
  • 2020Market Reactions to Central Bank Interest Rate Changes: Evidence from the Chinese Stock Market*16 cited
  • 2020The term structure effects of individual stock investor sentiment on excess returns15 cited
  • 2021Monetary Policy Interdependency in Fisher Effect: A Comparative Evidence12 cited