The Moderating Effect of Market-Specific Factors on the Return Predictability of Investor Sentiment
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DOI: 10.1177/21582440221114322
Abstract: This paper examines the return predictability of investor sentiment in 12 Asian and European markets during the period between 2004 and 2016. Employing the composite sentiment index constructed from the consumer confidence index (CCI), advance/decline… read more here.
Keywords: investor sentiment; sentiment; return predictability; market ... See more keywords