What investors say is what the market says: measuring China’s real investor sentiment
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DOI: 10.1007/s00779-021-01542-3
Abstract: This paper describes a novel approach to measure individual investor sentiment using text-based analysis of millions of posts extracted from Chinese financial online forums. We describe how we built a database of more than 200… read more here.
Keywords: investor sentiment; market; sentiment; individual investor ... See more keywords
Sentiment dynamics and volatility of international stock markets
Sign Up to like & getrecommendations! Published in 2017 at "Eurasian Business Review"
DOI: 10.1007/s40821-016-0063-3
Abstract: This study attempts to analyze the effects of investor sentiment on volatility of nine stock markets, and capture the asymmetry in terms of negative and positive news during the period from January, 2004 to June,… read more here.
Keywords: volatility; stock markets; investor sentiment; sentiment ... See more keywords
Stochastic investor sentiment, crowdedness and deviation of asset prices from fundamentals
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DOI: 10.1016/j.econmod.2018.10.008
Abstract: Abstract This study constructs a theoretical model to address how stochastic investor sentiment affects investor's crowdedness, and how stochastic investor sentiment and crowdedness affect asset prices. An asset pricing model incorporating stochastic investor sentiment and… read more here.
Keywords: stochastic investor; investor; asset; asset prices ... See more keywords
Firm-specific investor sentiment and stock price crash risk
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DOI: 10.1016/j.frl.2020.101442
Abstract: Abstract This study investigates the impact of firm-specific investor sentiment on stock price crash risk. To achieve this goal, we first develop a firm-specific investor sentiment index. Based on the sentiment index, we conduct empirical… read more here.
Keywords: crash risk; investor sentiment; sentiment; firm specific ... See more keywords
Structural breaks in online investor sentiment: A note on the nonstationarity of financial chatter
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DOI: 10.1016/j.frl.2020.101479
Abstract: Abstract Given the increasing interest in investor sentiment derived from social media platforms, we address one overlooked question – are there structural breaks in online investor sentiment? We cast the problem of break-point estimation in… read more here.
Keywords: online investor; investor sentiment; breaks online; structural breaks ... See more keywords
Does investor sentiment on social media provide robust information for Bitcoin returns predictability?
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DOI: 10.1016/j.frl.2020.101494
Abstract: Abstract We use a dataset of approximately one million messages sent on StockTwits to explore the relationship between investor sentiment on social media and intraday Bitcoin returns. We find a statistically significant relationship between investor… read more here.
Keywords: social media; investor sentiment; bitcoin returns; sentiment ... See more keywords
Terrorism, investor sentiment, and stock market reaction: Evidence from the British and the French markets
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DOI: 10.1016/j.frl.2021.102462
Abstract: Abstract We examine whether and how terrorist attacks influence the British and the French stock markets through investor sentiment. Using a quantile regression approach, our results indicate that terrorist attacks have adverse effects on the… read more here.
Keywords: investor sentiment; market; stock market; stock ... See more keywords
The 52-week high, momentum, and investor sentiment
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DOI: 10.1016/j.irfa.2018.01.014
Abstract: Abstract This paper examines the link between the profitability of the 52-week high momentum strategy and investor sentiment. We hypothesize that investors' investment decisions are subject to behavioral biases when the level of investor sentiment… read more here.
Keywords: week high; investor sentiment; sentiment; high momentum ... See more keywords
Oil price shocks, investor sentiment, and asset pricing anomalies in the oil and gas industry
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DOI: 10.1016/j.irfa.2020.101516
Abstract: Abstract This paper documents that stocks are not efficiently priced in the oil and gas industry. We find significant cross-sectional effects on stock returns from various firm characteristics in the oil and gas industry. Specifically,… read more here.
Keywords: gas industry; investor sentiment; oil gas; oil ... See more keywords
Intraday online investor sentiment and return patterns in the U.S. stock market
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Banking and Finance"
DOI: 10.1016/j.jbankfin.2017.07.002
Abstract: We implement a novel approach to derive investor sentiment from messages posted on social media before we explore the relation between online investor sentiment and intraday stock returns. Using an extensive dataset of messages posted… read more here.
Keywords: investor sentiment; market; sentiment; online investor ... See more keywords
The effect of investor sentiment on market reactions to financial earnings restatements: Lessons from the United States
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DOI: 10.1016/j.jbef.2019.100241
Abstract: Abstract The aim of the present research is to investigate the moderating impact of investor sentiment on the effect of earnings restatements on market valuation for a securities sample from the US stock market. Using… read more here.
Keywords: earnings restatements; investor; investor sentiment; sentiment market ... See more keywords