Do investors’ sentiment dynamics affect stock returns? Evidence from the US economy

This paper contributes to the understanding of the non-linear causal linkage between investors’ sentiment dynamics and stock returns for the US economy. Employing the sentiment index developed by Baker and Wurgler [Baker, M., Wurgler, J., 2007. Investor sentiment in the stock market. Journal of Economic Perspectives 21 (2), 129–151] and within a non-linear causality framework, we found that sentiment embodies significant predictive power with respect to stock returns.

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Year of publication:	2012
Authors:	Dergiades, Theologos
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 116.2012, 3, p. 404-407
Publisher:	Elsevier
Subject:	Investors’ sentiment \| Stock returns \| Non-linear Granger causality

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Type of publication:	Article
Classification:	G11 - Portfolio Choice ; G14 - Information and Market Efficiency; Event Studies ; C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041641