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The impact of investor sentiment on returns and conditional volatility in U.S. futures markets
16 references·3 citing·43 second hopsampled
The impact of investor sentiment on returns and conditional volatility in U.S. futures markets (2016)The impact of investor sentiment on retur…Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…Financialization of Commodity Markets (2013)Financialization of Commodity…Testing the Masters Hypothesis in commodity futures markets (2011)Testing the Masters Hypothesi…The Adequacy of Speculation in Agricultural Futures Markets: Too Much of a Good Thing? (2010)The Adequacy of Speculation i…How Noise Trading Affects Markets: An Experimental Analysis (2009)How Noise Trading Affects Mar…Investor Sentiment, Trading Behavior and Informational Efficiency in Index Futures Markets (2008)Investor Sentiment, Trading B…Noise trading and stock market volatility (2006)Noise trading and stock marke…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Stock market volatility, excess returns, and the role of investor sentiment (2002)Stock market volatility, exce…S&P futures returns and contrary sentiment indicators (2001)S&P futures returns and contr…Massively Confused Investors Making Conspicuously Ignorant Choices (MCI–MCIC) (2001)Massively Confused Investors …Investor Sentiment and Return Predictability in Agricultural Futures Markets (2001)Investor Sentiment and Return…The Noise Trader Approach to Finance (1990)The Noise Trader Approach to …Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Positive Feedback Investment …Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…The Size and Incidence of the Losses from Noise Trading (1989)The Size and Incidence of the…Modeling and forecasting commodity market volatility with long‐term economic and financial variables (2019)Modeling and forecasting comm…STOCK RETURNS, VOLATILITY AND MEAN REVERSION IN EMERGING AND DEVELOPED FINANCIAL MARKETS (2018)STOCK RETURNS, VOLATILITY AND…Investor Sentiment and the Risk-Return Tradeoff in the Brazilian Market (2016)Investor Sentiment and the Ri…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)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)The General Theory of Employment, Interest and Money. (1936)Volatility, Sentiment, and Noise Traders (1999)Do Markets Favor Agents able to Make Accurate Predictions? (2000)Noise Trading and Exchange Rate Regimes (2002)Judgment under Uncertainty: Heuristics and Biases (1975)The Impact of Social Structure on Economic Outcomes (2005)An Engine, Not a Camera (2006)The short of it: Investor sentiment and anomalies (2011)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Quantifying the speculative component in the real price of oil: The role of global oil inventories (2013)Risk premia in crude oil futures prices (2013)Convective Risk Flows in Commodity Futures Markets (2014)Common risk factors in the returns on stocks and bonds (1993)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)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)Investor Psychology and Security Market Under‐ and Overreactions (1998)In Search of Attention (2011)Policy Uncertainty and Corporate Investment (2015)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)The economic consequences of a Tobin tax—An experimental analysis (2010)Taxing Financial Transactions (2011)Glued to the TV: Distracted Noise Traders and Stock Market Liquidity (2019)The Limits of Arbitrage (1995)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Market Liquidity and Funding Liquidity (2008)New Evidence on the Financialization of Commodity Markets (2014)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Extrapolation and bubbles (2018)
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References

  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • 1990Positive Feedback Investment Strategies and Destabilizing Rational Speculation2,197 cited
  • 1990The Noise Trader Approach to Finance1,636 cited
  • 2013Financialization of Commodity Markets808 cited
  • 2002Stock market volatility, excess returns, and the role of investor sentiment700 cited
  • 2011Testing the Masters Hypothesis in commodity futures markets324 cited
  • 2009How Noise Trading Affects Markets: An Experimental Analysis323 cited
  • 1989The Size and Incidence of the Losses from Noise Trading300 cited
  • 2010The Adequacy of Speculation in Agricultural Futures Markets: Too Much of a Good Thing?220 cited
  • 2001Investor Sentiment and Return Predictability in Agricultural Futures Markets169 cited
  • 2008Investor Sentiment, Trading Behavior and Informational Efficiency in Index Futures Markets156 cited
  • 2001Massively Confused Investors Making Conspicuously Ignorant Choices (MCI–MCIC)154 cited
  • 2006Noise trading and stock market volatility

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150 cited
  • 2001S&P futures returns and contrary sentiment indicators148 cited
  • Cited by

    • 2019Modeling and forecasting commodity market volatility with long‐term economic and financial variables81 cited
    • 2018STOCK RETURNS, VOLATILITY AND MEAN REVERSION IN EMERGING AND DEVELOPED FINANCIAL MARKETS37 cited
    • 2016Investor Sentiment and the Risk-Return Tradeoff in the Brazilian Market27 cited