Investor sentiment effect in stock markets: Stock characteristics or country-specific factors?

Corredor, Pilar; Ferrer, Elena

doi:10.1016/j.iref.2013.02.001

Cited by 105 publications

(86 citation statements)

References 65 publications

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“…Thus, our non-financial firm performance determinants include macroeconomic factors, which have seldom been considered in previous studies. Corredor, Ferrer, and Santamaria (2013) find that the consumer confidence index captures investors' perceptions of the economic factors involved household spending and saving tendency, and has a positive influence on the volatility premium. Chen (2011) provides evidence for an asymmetric linkage between stock returns and consumer confidence: the impacts of returns on confidence are larger in bear markets.…”

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confidence: 88%

Why did some firms perform better in the global financial crisis?

Chen

Ning

2017

Economic Research-Ekonomska Istraživanja

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We explore what firm and macroeconomic factors assisted Chinese firms to resist the global financial crisis. We find that firms with higher top ten shareholder ratios or firms that are older exhibited saliently higher performance during the crisis, but performed poorly during the non-crisis period. Firm size has a notably negative impact on firm performance. Firms audited by the Big Four accounting firms have a significantly negative correlation with performance. During the crisis, stock markets became less efficient in incorporating firm-specific information into stock prices, signifying that the determinants of firm performance vary across non-crisis and crisis periods.

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confidence: 88%

Why did some firms perform better in the global financial crisis?

Chen

Ning

2017

Economic Research-Ekonomska Istraživanja

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“…Instead, the previous researches emphasize mainly the interaction of sentiment and the security returns (Brown & Cliff, 2004;Joseph, Wintoki, & Zhang, 2011;Laborda & Olmo, 2013), or the sentiment contagion among geographically different markets (Baker, Wurgler, & Yuan, 2012). The conclusions of previous findings are contingent to the choice of sentiment proxy (Corredor, Ferrer, & Santamaria, 2013). Hence I first attempt to categorize and compare the measures of sentiment in the past studies.…”

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confidence: 99%

Asymmetric Investor Sentiment and Broker Sentiment Contagionin the U.S. Equity Market

Dong¹

2014

IJEF

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This paper uses two types of daily and monthly investor sentiment measures and an indicator of broker sentiment to identify the dynamic linkages of the investor and broker sentiments. I categorize market sentiment into extreme, modest, and representative levels. Then I use unrestricted VAR and Granger causality tests to reveal the sentiments spillover between the counterparties of equity transaction at positive and negative return environments. The main findings are: previous investor sentiments affect the current investor and broker sentiments in the same direction, yet previous broker sentiments do not significantly affect the current investor sentiment. Standard& Poor's 100, 500, and NASDAQ-based investor sentimentsshow frequent self-corrections, while the DOW-based sentiment is persistent. Furthermore, extremely negative investor sentimentasy mmetrically dominates the equity market.In addition, brokers only take the consensus of investor sentiments as reference for the bullish stocks; while for the bearish stocks, broker sentiment is mostly affected by the extreme investor gauges and less by consensus. Pessimistic broker sentiment is not the cause but the effect of investor fear.

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“…Cibulskienė and Grigaliūnienė (2010) report a negative effect of sentiment on future stock returns for Scandinavian stock markets. Corredor et al (2013) investigate which factors, stock characteristics or country-specific ones, drive the effect of sentiment on European stock returns and conclude that both have an effect on the influence of sentiment. The results of Bai (2014) indicate that regional sentiment has a greater influence on European stock markets compared to the local one and that US sentiment is less important for euro-zone countries.…”

Section: Introductionmentioning

confidence: 99%

The pricing of sentiment risk in European stock markets

Keiber

Samyschew

2018

The European Journal of Finance

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This paper studies whether sentiment is rewarded with a significant risk premium on the European stock markets. We examine several sentiment proxies and identify the Economic Sentiment Indicator (ESI) from the EU Commission as the most relevant sentiment proxy for our sample. The analysis is performed for the contemporaneous excess returns of eleven euro area (EA-11) stock markets in the period from February 1999 to September 2015. We apply a conditional multiplebeta pricing model in order to track the variation of the sentiment risk premium over time. The results demonstrate a positive significant relationship between sentiment and contemporaneous excess returns which is consistent to the previous studies. The calculated sentiment risk premium is significant as well but of a negative sign implying that an investment in EA-11 countries over the examined time period would have been unattractive to the investors on average.

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Investor sentiment effect in stock markets: Stock characteristics or country-specific factors?

Cited by 105 publications

References 65 publications

Why did some firms perform better in the global financial crisis?

Why did some firms perform better in the global financial crisis?

Asymmetric Investor Sentiment and Broker Sentiment Contagionin the U.S. Equity Market

The pricing of sentiment risk in European stock markets

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