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The information content of the sentiment index
16 references·16 citing·28 second hopsampled
The information content of the sentiment index (2015)The information content of the sentiment …Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Asset pricing with liquidity risk (2005)Asset pricing with liquidity …Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Illiquidity and stock returns: cross-section and time-series effects (2002)Illiquidity and stock returns…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Financial Ratios and the Prob…RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION (1977)RISK, UNCERTAINTY, AND DIVERG…Asset returns and inflation (1977)Asset returns and inflationCAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Editor's Choice Digesting Anomalies: An Investment ApproachEditor's Choice Digesting Ano…Explainable deep learning model for stock price forecasting using textual analysis (2024)Explainable deep learning mod…Sentiment and stock market connectedness: Evidence from the U.S. – China trade war (2022)Sentiment and stock market co…Persistence of investor sentiment and market mispricing (2022)Persistence of investor senti…Investor sentiment: a retail trader activity approach (2022)Investor sentiment: a retail …Behavioural finance and cryptocurrencies (2022)Behavioural finance and crypt…Asymmetric response to earnings news across different sentiment states: The role of cognitive dissonance (2022)Asymmetric response to earnin…Investor Sentiment and (Anti) Herding in the Currency Market: Evidence from Twitter Feed Data (2021)Investor Sentiment and (Anti)…Empirical Evidence Regarding the Impact of Economic Growth and Inflation on Economic Sentiment and Household Consumption (2021)Empirical Evidence Regarding …Container freight rate forecasting with improved accuracy by integrating soft facts from practitioners (2021)Container freight rate foreca…Terrorist attacks, investor sentiment, and the pricing of initial public offerings (2020)Terrorist attacks, investor s…Sentiment stocks (2020)Sentiment stocksHow information technologies shape investor sentiment: A web-based investor sentiment index (2019)How information technologies …Aggregate investor sentiment and stock return synchronicity (2019)Aggregate investor sentiment …Market Sentiment and Innovation Activities (2018)Market Sentiment and Innovati…A weekly sentiment index and the cross-section of stock returns (2018)A weekly sentiment index and …Disclosure Standards and the Sensitivity of Returns to Mood (2015)Disclosure Standards and the …Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)A five-factor asset pricing model (2014)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)Financial Ratios As Predictors of Failure (1966)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Conditional logit analysis of qualitative choice behavior (1972)Methodological Issues Related to the Estimation of Financial Distress Prediction Models (1984)The Effect of Audit Quality on Earnings Management* (1998)Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)The Pricing of Options and Corporate Liabilities (1973)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)The Cross‐Section of Volatility and Expected Returns (2006)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)The relationship between return and market value of common stocks (1981)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Market Liquidity and Funding Liquidity (2008)On Persistence in Mutual Fund Performance (1997)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)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)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 2002Illiquidity and stock returns: cross-section and time-series effects10,008 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 1980Financial Ratios and the Probabilistic Prediction of Bankruptcy6,005 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION3,714 cited
  • 2005Asset pricing with liquidity risk2,816 cited
  • 1977Asset returns and inflation2,701 cited
  • n.d.Editor's Choice Digesting Anomalies: An Investment Approach2,508 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited

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1985
Stock Returns and the Term Structure
2,260 cited

Cited by

  • 2019Aggregate investor sentiment and stock return synchronicity93 cited
  • 2018Market Sentiment and Innovation Activities88 cited
  • 2022Sentiment and stock market connectedness: Evidence from the U.S. – China trade war70 cited
  • 2020Terrorist attacks, investor sentiment, and the pricing of initial public offerings61 cited
  • 2024Explainable deep learning model for stock price forecasting using textual analysis58 cited
  • 2022Investor sentiment: a retail trader activity approach57 cited
  • 2021Investor Sentiment and (Anti) Herding in the Currency Market: Evidence from Twitter Feed Data54 cited
  • 2022Behavioural finance and cryptocurrencies52 cited
  • 2021Empirical Evidence Regarding the Impact of Economic Growth and Inflation on Economic Sentiment and Household Consumption50 cited
  • 2022Asymmetric response to earnings news across different sentiment states: The role of cognitive dissonance49 cited
  • 2015Disclosure Standards and the Sensitivity of Returns to Mood44 cited
  • 2020Sentiment stocks39 cited
  • 2022Persistence of investor sentiment and market mispricing38 cited
  • 2018A weekly sentiment index and the cross-section of stock returns35 cited
  • 2019How information technologies shape investor sentiment: A web-based investor sentiment index32 cited
  • 2021Container freight rate forecasting with improved accuracy by integrating soft facts from practitioners32 cited