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Investor Sentiment and Paradigm Shifts in Equity Return Forecasting
16 references·3 citing·37 second hopsampled
Investor Sentiment and Paradigm Shifts in Equity Return Forecasting (2022)Investor Sentiment and Paradigm Shifts in…Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…Measuring Uncertainty (2015)Measuring UncertaintyPresidential Address: Discount Rates (2011)Presidential Address: Discoun…Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Overconfidence and Speculative Bubbles (2003)Overconfidence and Speculativ…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…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…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Simple Technical Trading Rule…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Evolution of investor sentiment: A systematic literature review and bibliometric analysis (2025)Evolution of investor sentime…Can we forecast better in periods of low uncertainty? The role of technical indicators (2023)Can we forecast better in per…An enhanced investor sentiment index* (2023)An enhanced investor sentimen…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)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)A five-factor asset pricing model (2014)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)A model of investor sentiment / (1997)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)Illiquidity and stock returns: cross-section and time-series effects (2002)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)To Explain or to Predict? (2010)Empirical Asset Pricing via Machine Learning (2020)A Theory of the Term Structure of Interest Rates (1985)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)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)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)In Search of Attention (2011)The short of it: Investor sentiment and anomalies (2011)Policy Uncertainty and Corporate Investment (2015)
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References

  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,373 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1998Investor Psychology and Security Market Under‐ and Overreactions5,841 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets4,018 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 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.13,097 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 2015Measuring Uncertainty2,908 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited

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

  • 1992Simple Technical Trading Rules and the Stochastic Properties of Stock Returns2,311 cited
  • 2003Overconfidence and Speculative Bubbles2,227 cited
  • 2011Presidential Address: Discount Rates2,222 cited
  • Cited by

    • 2025Evolution of investor sentiment: A systematic literature review and bibliometric analysis21 cited
    • 2023An enhanced investor sentiment index*19 cited
    • 2023Can we forecast better in periods of low uncertainty? The role of technical indicators15 cited