Measuring Stock Market Investor Sentiment - Université de Bourgogne Accéder directement au contenu
Article Dans Une Revue Journal of Applied Business Research Année : 2012

Measuring Stock Market Investor Sentiment

Résumé

Recently, investor sentiment measures have become one of the more widely examined areas in behavioral finance. A number of measures have been developed in the literature without having been fully validated, and therefore leaving in question which measure should be used for empirical exploration. The purpose of this study is to examine the relative performance of a number of popular measures in predicting stock returns and to test the relative efficacy of a hybrid approach. Using a panel of investor sentiment measures, we develop a new measure of sentiment which combines direct and indirect sentiment measures. Our results show that our composite sentiment index affects the returns of stocks hard to value and difficult to arbitrage consistent with the predictions of noise traders models. Finally, we find that our composite index has a better predictive ability than the alternative sentiment measures largely used in the literature.

Dates et versions

hal-01346766 , version 1 (19-07-2016)

Identifiants

Citer

Francisca Beer, Mohamed Zouaoui. Measuring Stock Market Investor Sentiment. Journal of Applied Business Research, 2012, 29 (1), pp.51-68. ⟨10.19030/jabr.v29i1.7555⟩. ⟨hal-01346766⟩
62 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More