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Intraday sentiment and market returns
16 references·4 citing·35 second hopsampled
Intraday sentiment and market returns (2020)Intraday sentiment and market returnsThe 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…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…Investor Sentiment and Asset Valuation (2005)Investor Sentiment and Asset …Market liquidity as a sentiment indicator (2004)Market liquidity as a sentime…Overconfidence and Speculative Bubbles (2003)Overconfidence and Speculativ…Investor sentiment and the near-term stock market (2003)Investor sentiment and the ne…Order imbalance, liquidity, and market returns (2002)Order imbalance, liquidity, a…Short-Term Variations and Long-Term Dynamics in Commodity Prices (2000)Short-Term Variations and Lon…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…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…Inferring Trade Direction from Intraday Data (1991)Inferring Trade Direction fro…Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)Positive Feedback Investment …Stock-level sentiment contagion and the cross-section of stock returns (2023)Stock-level sentiment contagi…Is it all about noise? Investor sentiment and risk nexus: evidence from China (2023)Is it all about noise? Invest…Does investor sentiment create value for asset pricing? An empirical investigation of the KOSPI ‐listed firms (2023)Does investor sentiment creat…Scheduled Macroeconomic News Announcements and Intraday Market Sentiment (2021)Scheduled Macroeconomic News …Market microstructure (1976)The effect of large block transactions on security prices: A cross-sectional analysis (1987)Trades, quotes, inventories, and information (1988)Commonality in liquidity (2000)Is Information Risk a Determinant of Asset Returns? (2002)Does Algorithmic Trading Improve Liquidity? (2011)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. (1936)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)The Cross-Section of Expected Stock Returns (1992)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Capital markets research in accounting (2001)Judgment under Uncertainty: Heuristics and Biases (1974)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Risk, Return, and Equilibrium: Empirical Tests (1973)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)Judgment under Uncertainty: Heuristics and Biases (1975)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)Diversification's effect on firm value (1995)Earnings Management to Exceed Thresholds (1999)Presidential Address: Discount Rates (2011)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)
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References

  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,234 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,711 cited
  • 1997A model of investor sentiment /4,073 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 1991Inferring Trade Direction from Intraday Data3,150 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.12,942 cited
  • 2003Overconfidence and Speculative Bubbles2,227 cited
  • 1990Positive Feedback Investment Strategies and Destabilizing Rational Speculation2,197 cited
  • 2011The short of it: Investor sentiment and anomalies1,781 cited
  • 2006Retail Investor Sentiment and Return Comovements1,490 cited
  • 2003Investor sentiment and the near-term stock market1,355 cited
  • 2004Market liquidity as a sentiment indicator1,267 cited
  • 2005Investor Sentiment and Asset Valuation1,111 cited
  • 2000Short-Term Variations and Long-Term Dynamics in Commodity Prices

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1,098 cited
  • 2011Global, local, and contagious investor sentiment1,039 cited
  • 2002Order imbalance, liquidity, and market returns921 cited
  • Cited by

    • 2021Scheduled Macroeconomic News Announcements and Intraday Market Sentiment25 cited
    • 2023Does investor sentiment create value for asset pricing? An empirical investigation of the KOSPI ‐listed firms24 cited
    • 2023Is it all about noise? Investor sentiment and risk nexus: evidence from China17 cited
    • 2023Stock-level sentiment contagion and the cross-section of stock returns16 cited