منابع مشابه
Reuters sentiment and stock returns
We examine the statistical power of fundamental and behavioral factors with regards to stock returns of the Dow Jones Industrials Index. With a novel sentiment dataset from over 3.6 million Reuters news articles, we nd signi cant correlations between Reuters sentiment and stock returns. We show with vector autoregression and error correction models that sentiment can explain and predict changes...
متن کاملIndividual Investor Sentiment and Stock Returns
This paper investigates a unique dataset that enables us to determine the aggregate buy and sell volume of individual investors for a large cross-section of NYSE stocks. We find that individuals trade as if they are contrarians, and that the stocks that individuals buy exhibit positive excess returns in the following month. These patterns are consistent with the idea that risk-averse individual...
متن کاملIndividual Investor Sentiment and Comovement in Small Stock Returns∗
Using data from a major discount brokerage house, we examine the effect of individual investor trading on stock returns. We show that the buy-sell imbalance in individual investors’ trades contains a systematic component that is uncorrelated with overall market movements. Using this common component as a measure of individual investor sentiment, we show that it is weakly correlated with standar...
متن کاملInvestor sentiment and stock returns: Some international evidence
We examine whether consumer confidence – as a proxy for individual investor sentiment – affects expected stock returns internationally in 18 industrialized countries. In line with recent evidence for the U.S., we find that sentiment negatively forecasts aggregate stock market returns on average across countries. When sentiment is high, future stock returns tend to be lower and vice versa. This ...
متن کاملThe Long-run Impact of Sentiment on Stock Returns∗
We examine the explanatory and predictive power of fundamental macroeconomic and behavioral factors with regards to stock returns of the Dow Jones Industrials Index. With a novel sentiment dataset from over 3.6 million Reuters news articles, we nd signi cant correlations between Reuters sentiment and stock returns. We show with vector autoregression and error correction models that Reuters sent...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2006
ISSN: 1556-5068
DOI: 10.2139/ssrn.677103