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Stock-level sentiment contagion and the cross-section of stock returns · Study

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ArticleStock-level sentiment contagion and the cross-section of stock returns

Liyun Zhou2023

Article2023

Stock-level sentiment contagion and the cross-section of stock returns

Liyun Zhou · Jialiang Huang

16 citations·0/0 files stored·The North American Journal of Economics and Finance

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

1993Common risk factors in the returns on stocks and bonds 2016Measuring Economic Policy Uncertainty*2014A five-factor asset pricing model 2006Investor Sentiment and the Cross‐Section of Stock Returns 1998Generalized impulse response analysis in linear multivariate models 1981The relationship between return and market value of common stocks 2011Better to give than to receive: Predictive directional measurement of volatility spillovers 1996Impulse response analysis in nonlinear multivariate models

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2024Investor sentiment or information content? A simple test for investor sentiment proxies 2024Social media sentiment contagion and stock price jumps and crashes

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Year2023

Typearticle

Published2023-06-24

VenueThe North American Journal of Economics and Finance

ISSN-L1062-9408

Languageen

Citations16

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.najef.2023.101966

openalex_workW4381887880

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