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Stock-level sentiment contagion and the cross-section of stock returns
16 references·2 citing·39 second hopsampled
Stock-level sentiment contagion and the cross-section of stock returns (2023)Stock-level sentiment contagion and the c…Measuring Economic Policy Uncertainty* (2016)Measuring Economic Policy Unc…A five-factor asset pricing model (2014)A five-factor asset pricing m…Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Econometric measures of conne…The short of it: Investor sentiment and anomalies (2011)The short of it: Investor sen…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…R2 around the world: New theory and new tests☆ (2005)R2 around the world: New theo…Social Interaction and Stock‐Market Participation (2004)Social Interaction and Stock‐…Information and the Cost of Capital (2004)Information and the Cost of C…The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)The information content of st…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Fundamentals and Stock Returns in Japan (1991)Fundamentals and Stock Return…Persuasive evidence of market inefficiency (1985)Persuasive evidence of market…The relationship between return and market value of common stocks (1981)The relationship between retu…Social media sentiment contagion and stock price jumps and crashes (2024)Social media sentiment contag…Investor sentiment or information content? A simple test for investor sentiment proxies (2024)Investor sentiment or informa…Stochastic Simulation (1987)How Big Is the Random Walk in GNP? (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Capital Market Equilibrium with Restricted Borrowing (1972)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A Contribution to the Theory of Economic Growth (1956)Increasing Returns and Long-Run Growth (1986)The Theory of Economic Development (2003)Finance and Growth: Theory and Evidence (2004)Chapter 12 Finance and Growth: Theory and Evidence (2005)Continuous Auctions and Insider Trading (1985)Is Information Risk a Determinant of Asset Returns? (2002)Information Uncertainty and Stock Returns (2006)Adoption of CSR and Sustainability Reporting Standards: Economic Analysis and Review (2019)The Role of Monetary Policy (1995)The Impact of Uncertainty Shocks (2009)Measuring Uncertainty (2015)Firm-Level Political Risk: Measurement and Effects* (2019)The Unprecedented Stock Market Reaction to COVID-19 (2020)Measuring Geopolitical Risk (2022)Editor's Choice Digesting Anomalies: An Investment ApproachOn Persistence in Mutual Fund Performance (1997)Digesting Anomalies: An Investment Approach (2012)Empirical Asset Pricing via Machine Learning (2020)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)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 2016Measuring Economic Policy Uncertainty*12,311 cited
  • 2014A five-factor asset pricing model7,841 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,234 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,889 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2000The information content of stock markets: why do emerging markets have synchronous stock price movements?3,332 cited
  • 2004Information and the Cost of Capital3,108 cited
  • 2005R2 around the world: New theory and new tests☆2,833 cited
  • 2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors2,527 cited
  • 1985Persuasive evidence of market inefficiency1,951 cited
  • 2004Social Interaction and Stock‐Market Participation1,826 cited
  • 2011The short of it: Investor sentiment and anomalies1,781 cited

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  • 1991Fundamentals and Stock Returns in Japan1,451 cited
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    • 2024Investor sentiment or information content? A simple test for investor sentiment proxies17 cited
    • 2024Social media sentiment contagion and stock price jumps and crashes16 cited