Measuring Stock Market Investor Sentiment

Abstract : 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.
Type de document :
Article dans une revue
Liste complète des métadonnées

https://hal-univ-bourgogne.archives-ouvertes.fr/hal-01346766
Contributeur : Crego - Université de Bourgogne <>
Soumis le : mardi 19 juillet 2016 - 15:25:20
Dernière modification le : vendredi 8 juin 2018 - 14:50:08

Lien texte intégral

Identifiants

Collections

Citation

Francisca Beer, Mohamed Zouaoui. Measuring Stock Market Investor Sentiment. Journal of Applied Business Research, Clute Institute, 2012, 29 (1), pp.51-68. ⟨http://www.cluteinstitute.com/ojs/index.php/JABR/article/view/7555⟩. ⟨10.19030/jabr.v29i1.7555⟩. ⟨hal-01346766⟩

Partager

Métriques

Consultations de la notice

108