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The impact of rational and irrational sentiments of individual and institutional investors on DJIA and S&P500 index returns
16 references·11 citing·30 second hop
The impact of rational and irrational sentiments of individual and institutional investors on DJIA and S&P500 index returns (2008)The impact of rational and irrational sen…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…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Macroeconomics and Reality (1980)Macroeconomics and RealityDistribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…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 …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…A model of investor sentiment /A model of investor sentiment…The power of sentiment: Irrational beliefs of households and consumer loan dynamics (2022)The power of sentiment: Irrat…The effects of public sentiments and feelings on stock market behavior: Evidence from Australia (2021)The effects of public sentime…COVID-19 and investor sentiment influence on the US and European countries sector returns (2020)COVID-19 and investor sentime…Optimism in Financial Markets: Stock Market Returns and Investor Sentiments (2019)Optimism in Financial Markets…Measurement of Investor Sentiment and Its Bi-Directional Contemporaneous and Lead–Lag Relationship with Returns: Evidence from Pakistan (2018)Measurement of Investor Senti…PREDICTING STOCK RETURNS AND VOLATILITY WITH INVESTOR SENTIMENT INDICES: A RECONSIDERATION USING A NONPARAMETRIC CAUSALITY‐IN‐QUANTILES TEST (2017)PREDICTING STOCK RETURNS AND …The relationship between individual investor sentiment, stock return and volatility (2015)The relationship between indi…Sin stock returns and investor sentiment (2015)Sin stock returns and investo…An examination of U.S. institutional and individual investor sentiment effect on the Turkish stock market (2015)An examination of U.S. instit…Market Response to Investor Sentiment (2013)Market Response to Investor S…Does Sentiment Matter for Stock Market Returns? Evidence from a Small European Market (2013)Does Sentiment Matter for Sto…A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)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)Users of the world, unite! The challenges and opportunities of Social Media (2009)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Testing for unit roots in heterogeneous panels (2003)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • n.d.A model of investor sentiment /4,073 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets

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4,018 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • Cited by

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    • 2022The power of sentiment: Irrational beliefs of households and consumer loan dynamics38 cited
    • 2017PREDICTING STOCK RETURNS AND VOLATILITY WITH INVESTOR SENTIMENT INDICES: A RECONSIDERATION USING A NONPARAMETRIC CAUSALITY‐IN‐QUANTILES TEST38 cited
    • 2018Measurement of Investor Sentiment and Its Bi-Directional Contemporaneous and Lead–Lag Relationship with Returns: Evidence from Pakistan38 cited
    • 2019Optimism in Financial Markets: Stock Market Returns and Investor Sentiments38 cited
    • 2013Does Sentiment Matter for Stock Market Returns? Evidence from a Small European Market35 cited
    • 2020COVID-19 and investor sentiment influence on the US and European countries sector returns29 cited
    • 2015An examination of U.S. institutional and individual investor sentiment effect on the Turkish stock market27 cited