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.
- Sprache
-
Englisch
- Erschienen in
-
Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 3 ; Year: 2015 ; Issue: 3 ; Pages: 319-341 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
Asset Pricing; Trading Volume; Bond Interest Rates
Information and Market Efficiency; Event Studies; Insider Trading
Financial Forecasting and Simulation
- Thema
-
investor sentiment
return predictability
stock market
consumer confidence
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Stivers, Adam
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2015
- DOI
-
doi:10.3390/ijfs3030319
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Stivers, Adam
- MDPI
Entstanden
- 2015
Ähnliche Objekte (12)
Investor sentiment, portfolio returns, and macroeconomic variables
Investor sentiment and stock returns: some international evidence
The Liquidity Crisis, Investor Sentiment, and REIT Returns and Volatility
Big Questions, Little Answers: Terrorism Activity, Investor Sentiment and Stock Returns
Big Questions, Little Answers : Terrorism Activity, Investor Sentiment and Stock Returns
Sentiment and institutional investors
Investor Sentiment and Employment
What makes cryptocurrencies special? Investor sentiment and return predictability during the bubble
Investor sentiment and stock return volatility: Evidence from the Johannesburg Stock Exchange
Market response to investor sentiment
Market response to investor sentiment
Market response to investor sentiment
Investor sentiment, portfolio returns, and macroeconomic variables
Investor sentiment and stock returns: some international evidence
The Liquidity Crisis, Investor Sentiment, and REIT Returns and Volatility
Big Questions, Little Answers: Terrorism Activity, Investor Sentiment and Stock Returns
Big Questions, Little Answers : Terrorism Activity, Investor Sentiment and Stock Returns
Sentiment and institutional investors
Investor Sentiment and Employment
What makes cryptocurrencies special? Investor sentiment and return predictability during the bubble
Investor sentiment and stock return volatility: Evidence from the Johannesburg Stock Exchange
Market response to investor sentiment
Market response to investor sentiment
Market response to investor sentiment
Investor sentiment, portfolio returns, and macroeconomic variables
Investor sentiment and stock returns: some international evidence
The Liquidity Crisis, Investor Sentiment, and REIT Returns and Volatility
Big Questions, Little Answers: Terrorism Activity, Investor Sentiment and Stock Returns
Big Questions, Little Answers : Terrorism Activity, Investor Sentiment and Stock Returns
Sentiment and institutional investors
Investor Sentiment and Employment
What makes cryptocurrencies special? Investor sentiment and return predictability during the bubble
Investor sentiment and stock return volatility: Evidence from the Johannesburg Stock Exchange
Market response to investor sentiment
Market response to investor sentiment