The impact of investor sentiment on returns, cash flows, discount rates, and performance
نویسندگان
چکیده
منابع مشابه
Investor Sentiment , Mutual Fund Flows and its Impact on Returns and Volatility
Purpose – This paper investigates the impact of individual investor sentiment on the return process and conditional volatility of three main US market indices (DJIA, S&P500 and Nasdaq100). Individual investor sentiment is measured by aggregate money flows in and out of domestically oriented US mutual funds. Design/Methodology/Approach – A GARCH-in-mean specification is used, where our measure f...
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15 صفحه اولForecasting 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 ...
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ژورنال
عنوان ژورنال: Borsa Istanbul Review
سال: 2021
ISSN: 2214-8450
DOI: 10.1016/j.bir.2021.06.005