Artikel
Forecasting returns with fundamentals-removed investor sentiment
The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor sentiment that may better capture irrational sentiment. This new index predicts returns better than the original Baker and Wurgler index as well as the alternative Baker and Wurgler sentiment index.
- Language
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Englisch
- Bibliographic citation
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Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 3 ; Year: 2015 ; Issue: 3 ; Pages: 319-341 ; Basel: MDPI
- Classification
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Wirtschaft
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
Information and Market Efficiency; Event Studies; Insider Trading
Financial Forecasting and Simulation
- Subject
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investor sentiment
return predictability
stock market
consumer confidence
- Event
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Geistige Schöpfung
- (who)
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Stivers, Adam
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2015
- DOI
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doi:10.3390/ijfs3030319
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Stivers, Adam
- MDPI
Time of origin
- 2015
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