Artikel
Investor sentiment, portfolio returns, and macroeconomic variables
Investor sentiment is an important aspect of behavioural finance, which provides explanation of anomalies to the asset's intrinsic values. Sentiments can easily affect individual investors. Historically, Australia is regarded as rich in resources but poor in capital, and this motivates the paper to further study and compare the effects of investor sentiment on performance returns. Aggregate and cross-sectional effects, as well as predictive regression analysis to forecast the relationships, while controlling for the macroeconomic variables, are used by employing Consumer Confidence Index (CCI) and trade volume as sentiment proxies. Contrary to some studies with aggregate stock markets, it is discovered that in the short term, investor sentiment poses a positive impact with strong predictive power on the forecast of portfolio returns but not so much in the long run, which supports the classical theories of rational investors. In both Australian and New Zealand markets, the sentiment proxies also cannot predict the returns portfolios with dividends in the long/short portfolio and book-to-market ratio long/short portfolio.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 13 ; Year: 2020 ; Issue: 11 ; Pages: 1-14 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
- Thema
-
market efficiency
anomalies
behavioural finance
consumer confidence Index (CCI)
dividend per share (DPS)
EMH
investment
investor sentiment
macroeconomic variables
performance measures
portfolio returns
predictive power
price earning ratio (PE)
return
trade volume
unit root
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Banchit, Azilawati
Abidin, Sazali
Lim, Sophyafadeth
Morni, Fareiny
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2020
- DOI
-
doi:10.3390/jrfm13110259
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Banchit, Azilawati
- Abidin, Sazali
- Lim, Sophyafadeth
- Morni, Fareiny
- MDPI
Entstanden
- 2020
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