SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Excess stock return comovements and the role of investor sentiment
16 references·6 citing·39 second hop
Excess stock return comovements and the role of investor sentiment (2017)Excess stock return comovements and the r…Global, local, and contagious investor sentiment (2011)Global, local, and contagious…Stock Return Predictability: Is it There? (2006)Stock Return Predictability: …Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Comovement (2004)ComovementStyle investing (2003)Style investingThe Equity Premium (2002)The Equity PremiumInternational Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Foreign Speculators and Emerging Equity Markets (2000)Foreign Speculators and Emerg…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Is the correlation in international equity returns constant: 1960–1990? (1995)Is the correlation in interna…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…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 …The Investment, Financing, and Valuation of the Corporation (1963)The Investment, Financing, an…Stock market return predictability: A combination forecast perspective (2022)Stock market return predictab…Constructing a positive sentiment index for COVID-19: Evidence from G20 stock markets (2022)Constructing a positive senti…Financialization, idiosyncratic information and commodity co-movements (2020)Financialization, idiosyncrat…Do the Shanghai–Hong Kong & Shenzhen–Hong Kong Stock Connect programs enhance co‐movement between the Mainland Chinese, Hong Kong, and U.S. stock markets? (2020)Do the Shanghai–Hong Kong & S…Are Islamic stocks immune from financial crises? Evidence from contagion tests (2020)Are Islamic stocks immune fro…The role of stock price synchronicity on the return-sentiment relation (2018)The role of stock price synch…Dividend Policy, Growth, and the Valuation of Shares (1961)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Time Series Analysis, Forecasting, and Control (1995)Multivariate GARCH models: a surveyConditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Emerging equity market volatility (1997)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to Measuring Financial Contagion (2003)Market Integration and Contagion (2005)How Sovereign Is Sovereign Credit Risk? (2011)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 Psychology and Security Market Under‐ and Overreactions (1998)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)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)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)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)Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)On the Impossibility of Informationally Efficient Markets (1980)Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices (2000)Asymmetric correlations of equity portfolios (2002)Does financial liberalization spur growth? (2005)
this work references cited by second hop

References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2000Foreign Speculators and Emerging Equity Markets1,868 cited
  • 1995Is the correlation in international equity returns constant: 1960–1990?1,805 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2002The Equity Premium1,331 cited
  • 2006Stock Return Predictability: Is it There?1,295 cited
  • 2011Global, local, and contagious investor sentiment1,021 cited
  • 2003Style investing971 cited
  • 1963The Investment, Financing, and Valuation of the Corporation958 cited
  • 2004

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Comovement
929 cited

Cited by

  • 2020Financialization, idiosyncratic information and commodity co-movements74 cited
  • 2022Constructing a positive sentiment index for COVID-19: Evidence from G20 stock markets61 cited
  • 2020Are Islamic stocks immune from financial crises? Evidence from contagion tests31 cited
  • 2018The role of stock price synchronicity on the return-sentiment relation24 cited
  • 2022Stock market return predictability: A combination forecast perspective21 cited
  • 2020Do the Shanghai–Hong Kong & Shenzhen–Hong Kong Stock Connect programs enhance co‐movement between the Mainland Chinese, Hong Kong, and U.S. stock markets?21 cited