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Sentiment Changes, Stock Returns and Volatility: Evidence from NYSE, Amex, and Nasdaq Stocks
16 references·5 citing·21 second hopsampled
Sentiment Changes, Stock Returns and Volatility: Evidence from NYSE, Amex, and Nasdaq Stocks (2011)Sentiment Changes, Stock Returns and Vola…Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Giving Content to Investor Se…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Profitability of Momentum Strategies: An Evaluation of Alternative Explanations (2001)Profitability of Momentum Str…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…International Momentum Strategies (1998)International Momentum Strate…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…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Size and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…Contrarian Investment, Extrapolation, and Risk (1994)Contrarian Investment, Extrap…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…The relationship between return and market value of common stocks (1981)The relationship between retu…Dynamic multi-period sparse portfolio selection model with asymmetric investors’ sentiments (2021)Dynamic multi-period sparse p…Do Indian stock market sentiments impact contemporaneous returns? (2018)Do Indian stock market sentim…Sentiment and stock market volatility revisited: A time–frequency domain approach (2017)Sentiment and stock market vo…Home is Where You Know Your Volatility – Local Investor Sentiment and Stock Market Volatility (2017)Home is Where You Know Your V…Market states, expectations, sentiment and momentum: How naive are investors? (2013)Market states, expectations, …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Continuous Auctions and Insider Trading (1985)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)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Judgment under Uncertainty: Heuristics and Biases (1975)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)In Search of Attention (2011)Textual Analysis in Accounting and Finance: A Survey (2016)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1985Does the Stock Market Overreact?7,569 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,234 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 2007Giving Content to Investor Sentiment: The Role of Media in the Stock Market4,822 cited
  • 1994Contrarian Investment, Extrapolation, and Risk4,198 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
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 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.1

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2,942 cited
  • 2001Profitability of Momentum Strategies: An Evaluation of Alternative Explanations2,502 cited
  • 1998International Momentum Strategies1,813 cited
  • Cited by

    • 2021Dynamic multi-period sparse portfolio selection model with asymmetric investors’ sentiments25 cited
    • 2018Do Indian stock market sentiments impact contemporaneous returns?21 cited
    • 2013Market states, expectations, sentiment and momentum: How naive are investors?20 cited
    • 2017Sentiment and stock market volatility revisited: A time–frequency domain approach19 cited
    • 2017Home is Where You Know Your Volatility – Local Investor Sentiment and Stock Market Volatility18 cited