Investor Sentiment and Cross-Sectional Return after Share Issuance: Evidence from Seasonal Equity Offering in China Market

Does Investor Sentiment affect Cross- Sectional Stock Returns on the Chinese A-Share Market?

Efficiency and cross-correlation in equity market during global financial crisis: Evidence from China

Using one minute high-frequency data of the Shanghai Composite Index (SHCI) and the Shenzhen Composite Index (SZCI) (2007–2008), we employ the detrended fluctuation analysis (DFA) and the detrended cross correlation analysis (DCCA) with rolling window approach to observe the evolution of market efficiency and cross-correlation in pre-crisis and crisis period. Considering the fat-tail distributi...

Investor Sentiment in the Stock Market

Real investors and markets are too complicated to be neatly summarized by a few selected biases and trading frictions. The “top down” approach to behavioral finance focuses on the measurement of reduced form, aggregate sentiment and traces its effects to stock returns. It builds on the two broader and more irrefutable assumptions of behavioral finance—sentiment and the limits to arbitrage—to ex...

Investor Sentiment, Market Timing, and Futures Returns

Investor sentiment index based on actual trader positions is useful for forecasting S&P 500 index futures returns. We find that large speculator sentiment is a price continuation indicator, whereas large hedger sentiment is a weak contrary indicator. Small trader sentiment does not forecast returns. We show that extreme levels and the combination of extreme levels of sentiments of the two types...

The Effects of Sentiment on Market Return and Volatility and The Cross-Sectional Risk Premium of Sentiment-affected Volatility

We construct investor sentiment of UK stock market using the procedure of principal component analysis. Using sentiment-augmented EGARCH component model, we analyse the impacts of sentiment on market excess return, the permanent component of market volatility and the transitory component of market volatility. Bullish sentiment leads to higher market excess return while bearish sentiment leads t...