Reversal evidence from investor sentiment in international stock markets

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-03-07 DOI:10.1111/irfi.12448

Keunbae Ahn, Gerhard Hambusch

引用次数: 0

Abstract

This research investigates the effect of sentiment on the time-series and cross-section of mean, variance and correlation of asset returns to examine how investor sentiment creates predictable variations in financial markets. Based on the method proposed by Baker and Wurgler (2007, Investor sentiment in the stock market, Journal of Economic Perspectives 21, 129-152), we build composite sentiment indexes with a focus on international markets. Our time-series results show that optimistic (pessimistic) sentiment leads to overpricing (underpricing) and that variance and correlation of asset returns increase when investors are pessimistic. Our cross- section results suggest that these effects tend to become more pronounced for stocks with more exposure to sentiment or the market.

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国际股票市场投资者情绪的逆转证据

本研究探讨了情绪对资产回报率的均值、方差和相关性的时序和横截面的影响，以研究投资者情绪如何在金融市场中产生可预测的变化。根据 Baker 和 Wurgler（2007 年，《股市中的投资者情绪》，《经济展望杂志》第 21 期，129-152）提出的方法，我们建立了以国际市场为重点的综合情绪指数。我们的时间序列结果显示，乐观（悲观）情绪会导致定价过高（过低），当投资者悲观时，资产回报的方差和相关性会增加。我们的横截面结果表明，这些影响对于受情绪或市场影响较大的股票往往更为明显。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.