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Investor sentiment and aggregate stock returns: the role of investor attention
16 references·5 citing·28 second hop
Investor sentiment and aggregate stock returns: the role of investor attention (2018)Investor sentiment and aggregate stock re…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…In Search of Attention (2011)In Search of AttentionAll That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)All That Glitters: The Effect…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Limited attention, information disclosure, and financial reporting (2003)Limited attention, informatio…Have Financial Statements Lost Their Relevance? (1999)Have Financial Statements Los…The Limits of Arbitrage (1995)The Limits of ArbitrageThe weighing of evidence and the determinants of confidence (1992)The weighing of evidence and …Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)DEVELOPMENTS IN THE STUDY OF …On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Fitting autoregressive models for prediction (1969)Fitting autoregressive models…Investor sentiment and its implication on global financial markets: a systematic review of literature (2025)Investor sentiment and its im…Which is more important in stock market forecasting: Attention or sentiment? (2023)Which is more important in st…News sentiment and stock market volatility (2021)News sentiment and stock mark…Forecasting oil and gold volatilities with sentiment indicators under structural breaks (2021)Forecasting oil and gold vola…Social media, political uncertainty, and stock markets (2020)Social media, political uncer…Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)A model of investor sentiment /CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Market Liquidity and Funding Liquidity (2008)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Prospect theory: An analysis of decision under risk (1988)On Persistence in Mutual Fund Performance (1997)Media Coverage and the Cross‐section of Stock Returns (2009)Who Gambles in the Stock Market? (2009)Investor Psychology and Security Market Under‐ and Overreactions (1998)Policy Uncertainty and Corporate Investment (2015)Bounds testing approaches to the analysis of level relationships (2001)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media (2014)Attention to Global Warming (2019)Efficient Capital Markets: II (1991)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 2007All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors4,550 cited
  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 2011In Search of Attention3,088 cited
  • 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
  • 1969Fitting autoregressive models for prediction2,483 cited
  • 2003Limited attention, information disclosure, and financial reporting2,339 cited
  • 1999Have Financial Statements Lost Their Relevance?1,917 cited
  • 1992The weighing of evidence and the determinants of confidence

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1,842 cited
  • 2011The short of it: Investor sentiment and anomalies1,781 cited
  • Cited by

    • 2021Forecasting oil and gold volatilities with sentiment indicators under structural breaks44 cited
    • 2025Investor sentiment and its implication on global financial markets: a systematic review of literature35 cited
    • 2023Which is more important in stock market forecasting: Attention or sentiment?31 cited
    • 2021News sentiment and stock market volatility31 cited
    • 2020Social media, political uncertainty, and stock markets26 cited