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Institutional and individual sentiment : smart money and noise trader risk

Schmeling, Maik (contributor) - 2006

Using a new data set on investor sentiment we show that institutional and individual sentiment proxy for smart money and noise trader risk, respectively. First, using bias-adjusted long-horizon regressions, we document that institutional sentiment forecasts stock market returns at intermediate...

Persistent link: https://www.econbiz.de/10003327177

A two-step test procedure to decide between random- and fixed-effects specifications

Breitung, Jörg - 1992

Persistent link: https://www.econbiz.de/10000840466

Robust testing of functional statistics : the bootstrap approach

Breitung, Jörg - 1990

Persistent link: https://www.econbiz.de/10000781771

A multivariate measure of persistence

Breitung, Jörg - 1990

Persistent link: https://www.econbiz.de/10000800204

Neuere Entwicklung auf dem Gebiet ökonometrischer Strukturmodelle : strukturelle Vektorautoregression

Breitung, Jörg - 1998

Persistent link: https://www.econbiz.de/10000996325

On model based seasonal adjustment procedures

Breitung, Jörg - 1998

Persistent link: https://www.econbiz.de/10000992216

Rank tests for nonlinear cointegration relationships

Breitung, Jörg - 1998

Persistent link: https://www.econbiz.de/10000993117

Testing for unit roots in panel data using a GMM approach

Breitung, Jörg - In: Statistical papers 38 (1997) 3, pp. 253-269

Persistent link: https://www.econbiz.de/10001229051

Rank tests for nonlinear cointegration

Breitung, Jörg - In: Journal of business & economic statistics : JBES ; a … 19 (2001) 3, pp. 331-340

Persistent link: https://www.econbiz.de/10001603256

A convenient representation for structural vector autoregressions

Breitung, Jörg - In: Empirical economics : a journal of the Institute for … 26 (2001) 2, pp. 447-459

Persistent link: https://www.econbiz.de/10001579920

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