Does investors’ sentiment predict stock price changes? With analyses of naive extrapolation and the salience hypothesis in Japan

Tsuji, Chikashi

doi:10.1080/17446540600690136

Cited by 14 publications

(7 citation statements)

References 20 publications

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“…Baker and Wurgler's measures are monthly. Papers, which use this methodology or measures, include Tsuji (); Yu and Yuan (); Baker et al (); Chung et al (), and Stambaugh et al (). Sent^ and Sent were obtained from Jeffrey Wurgler's website: http://pages.stern.nyu.edu/~jwurgler/main.htm (obtained on the November 14, 2015).…”

Section: Sentiment Proxiesmentioning

confidence: 99%

“…Baker and Wurgler's measures are monthly. Papers, which use this methodology or measures, include Tsuji (2006) Another popular approach is the use of text-based measures to construct proxies for sentiment (Tetlock 2007;Tetlock et al 2008;García 2013;Smales 2014;Uhl 2014;Hendershott et al 2015). These studies typically utilize lexicons to categorize words and then glean the tone of an article.…”

Section: Introductionmentioning

confidence: 99%

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The Validity of Investor Sentiment Proxies

et al. 2016

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Behavioral finance research relies on proxies for unobservable phenomena. Different proxies for the same underlying phenomena should be correlated (formal proof of this proposition is presented in this letter). This letter examines proxies for an unobservable variable, sentiment. We utilize a well‐known methodology to construct text‐based sentiment proxies and compare these with metrics from Baker and Wurgler. We find that they are not correlated. At least one, but perhaps all, of these are not valid proxies of sentiment.

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Section: Sentiment Proxiesmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

The Validity of Investor Sentiment Proxies

et al. 2016

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“…Several studies (Tsuji, 2006, Wang, Li & Lin, 2009, Lux, 2011, Finter et al 2012and Yu, Huang & Hsu, 2014 conducted in different contexts support the hypothesis that sentiment conditions share price and plays a significant influence on expected return. Existing literature has focused on developed markets, so there is little empirical evidence on the role of investor sentiment on stock profitability, particularly in emerging markets.…”

Section: Literature Reviewmentioning

confidence: 87%

Subjective/ Behavioural Factors Influence the PSI 20 and IBEX 35

Costa¹,

Reis²,

Pinto³

2020

IJFR

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This study assesses the impact of investor sentiment on the volatility of the PSI 20 and IBEX 35 from time series data from January 1988 to May 2019. The impact of investor sentiment on market and portfolio selection has aroused great interest in the literature, however the results obtained are not consensual, considering the different methodologies used to build sentiment indices, as well as the various levels of institutional development in the market.Asymmetric volatility behaviours according to good or bad news were evaluated using the TGARCH model. The results indicate that there is an asymmetric effect of good versus bad news on the volatility of IBEX 35. It was also noted that for Portugal and Spain investor sentiment presents statistical significance with a negative sign, suggesting that market volatility is more sensitive to negative shocks in the conditional variance. In Portugal, contrary to Spain, sentiment has no relevance on return. The study reveals that investor sentiment is a key factor in selecting investment in the market. The relationship that this establishes with volatility, can help to implement policies that allow to minimize future shocks’ impact on return. The study reveals for the first time that investor sentiment is a key factor in selecting investment in the market for Portugal.

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“…Baker and Wurgler's measures are limited to a monthly frequency due to the nature of the data with which they work; other similar measures that utilise macroeconomic data that is released quarterly provide even less frequent measurements of sentiment. Papers which use this style of macro-measure include Tsuji (2006), Yu and Yuan (2011) Baker, Wurgler, and Yuan (2012), Chung, Hung, and Yeh (2012) and Stambaugh, Yu, and Yuan (2012).…”

Section: IImentioning

confidence: 99%

Melancholia and Japanese stock returns – 2003 to 2012

Khuu

Durand

Smales

2016

Pacific-Basin Finance Journal

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Japan's "lost decades" challenge Finance's central tenet of a positive relationship of return and risk. We present evidence that Japan's dismal returns are a function of sentiment both at the aggregate market and individual firm level. Sentiment is predominately negative during our sample period (2003 to 2012). The effect of news sentiment is greatest for smaller firms. We utilize a textbased measure of news sentiment (Thomson Reuters News Analytics) to proxy for investor sentiment.

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Does investors’ sentiment predict stock price changes? With analyses of naive extrapolation and the salience hypothesis in Japan

Cited by 14 publications

References 20 publications

The Validity of Investor Sentiment Proxies

The Validity of Investor Sentiment Proxies

Subjective/ Behavioural Factors Influence the PSI 20 and IBEX 35

Melancholia and Japanese stock returns – 2003 to 2012

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