The presence of investor sentiment pushes asset prices away from the equilibrium level justified by underlying fundamentals. While sentiment is not directly observable, identifying appropriate proxies and, quantifying the impact of sentiment on asset prices is an important topic. Asset prices...

This article examines the relationship between changes in the level of investor fear (measured by VIX) and financial market returns. We document a statistically significant relationship, across asset classes, consistent with a flight to quality as investor fear increases. As VIX increase there...

The relationship between order imbalance, market returns and macroeconomic news is examined in the context of the Australian interest rate futures market. Contemporaneous order imbalance exerts a significant impact on market returns in the expected direction i.e. excess buy (sell) orders drive...

This note considers the effect of changes in the well-being of U.S. residents owing to changes in the value of various financial assets. Ordinary least squares estimates reveal that equity market returns have a significant, and asymmetric, impact on well-being. This result is likely the result...

We examine how the stock market relation to news sentiment – from traditional and social media (Twitter) sources - interacts with stock short selling. Our sample includes the S&P500 constituents for the period January 2016 to December 2020. We find evidence that returns are positively related...