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Excess stock return comovements and the role of investor sentiment · Study

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ArticleExcess stock return comovements and the role of investor sentiment

Bart Frijns2017

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Articlebronze2017

Excess stock return comovements and the role of investor sentiment

Bart Frijns · Willem F. C. Verschoor · Remco C. J. Zwinkels

50 citations·0/0 files stored·Journal of International Financial Markets Institutions and Money

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1970Efficient Capital Markets: A Review of Theory and Empirical Work 1990Noise Trader Risk in Financial Markets 2006Investor Sentiment and the Cross‐Section of Stock Returns 1995Multivariate Simultaneous Generalized ARCH 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 2000Foreign Speculators and Emerging Equity Markets

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2020Financialization, idiosyncratic information and commodity co-movements 2020Are Islamic stocks immune from financial crises? Evidence from contagion tests 2018The role of stock price synchronicity on the return-sentiment relation

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Year2017

Typearticle

Published2017-02-24

VenueJournal of International Financial Markets Institutions and Money

ISSN-L1042-4431

Languageen

Citations50

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.intfin.2017.02.005

openalex_workW3107007121

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