The Experts below are selected from a list of 9252 Experts worldwide ranked by ideXlab platform
Francisca Beer - One of the best experts on this subject based on the ideXlab platform.
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how does Investor Sentiment affect stock market crises evidence from panel data
The Financial Review, 2011Co-Authors: Mohamed Zouaoui, Genevieve Nouyrigat, Francisca BeerAbstract:We test the impact of Investor Sentiment on a panel of international stock markets. Specifically, we examine the influence of Investor Sentiment on the probability of stock market crises. We find that Investor Sentiment increases the probability of occurrence of stock market crises within a one-year horizon. The impact of Investor Sentiment on stock markets is more pronounced in countries that are culturally more prone to herd-like behavior, overreaction and low institutional involvement.
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How does Investor Sentiment affect stock market crises? Evidence from panel data
2010Co-Authors: Mohamed Zouaoui, Genevieve Nouyrigat, Francisca BeerAbstract:We test the impact of Investor Sentiment on a panel of international stock markets. Specifically, we examine the influence of Investor Sentiment on the probability of stock market crises. We find that Investor Sentiment increases the probability of occurrence of stock market crises within a one-year horizon. The impact of Investor Sentiment on stock markets is more pronounced in countries that are culturally more prone to herd-like behavior and overreaction or in countries with low institutional involvement. Results also suggest that Investors' Sentiment is not a reliable predictor of stock market reversal points
Mohamed Zouaoui - One of the best experts on this subject based on the ideXlab platform.
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how does Investor Sentiment affect stock market crises evidence from panel data
The Financial Review, 2011Co-Authors: Mohamed Zouaoui, Genevieve Nouyrigat, Francisca BeerAbstract:We test the impact of Investor Sentiment on a panel of international stock markets. Specifically, we examine the influence of Investor Sentiment on the probability of stock market crises. We find that Investor Sentiment increases the probability of occurrence of stock market crises within a one-year horizon. The impact of Investor Sentiment on stock markets is more pronounced in countries that are culturally more prone to herd-like behavior, overreaction and low institutional involvement.
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How does Investor Sentiment affect stock market crises? Evidence from panel data
2010Co-Authors: Mohamed Zouaoui, Genevieve Nouyrigat, Francisca BeerAbstract:We test the impact of Investor Sentiment on a panel of international stock markets. Specifically, we examine the influence of Investor Sentiment on the probability of stock market crises. We find that Investor Sentiment increases the probability of occurrence of stock market crises within a one-year horizon. The impact of Investor Sentiment on stock markets is more pronounced in countries that are culturally more prone to herd-like behavior and overreaction or in countries with low institutional involvement. Results also suggest that Investors' Sentiment is not a reliable predictor of stock market reversal points
Genevieve Nouyrigat - One of the best experts on this subject based on the ideXlab platform.
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how does Investor Sentiment affect stock market crises evidence from panel data
The Financial Review, 2011Co-Authors: Mohamed Zouaoui, Genevieve Nouyrigat, Francisca BeerAbstract:We test the impact of Investor Sentiment on a panel of international stock markets. Specifically, we examine the influence of Investor Sentiment on the probability of stock market crises. We find that Investor Sentiment increases the probability of occurrence of stock market crises within a one-year horizon. The impact of Investor Sentiment on stock markets is more pronounced in countries that are culturally more prone to herd-like behavior, overreaction and low institutional involvement.
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How does Investor Sentiment affect stock market crises? Evidence from panel data
2010Co-Authors: Mohamed Zouaoui, Genevieve Nouyrigat, Francisca BeerAbstract:We test the impact of Investor Sentiment on a panel of international stock markets. Specifically, we examine the influence of Investor Sentiment on the probability of stock market crises. We find that Investor Sentiment increases the probability of occurrence of stock market crises within a one-year horizon. The impact of Investor Sentiment on stock markets is more pronounced in countries that are culturally more prone to herd-like behavior and overreaction or in countries with low institutional involvement. Results also suggest that Investors' Sentiment is not a reliable predictor of stock market reversal points
Chunpeng Yang - One of the best experts on this subject based on the ideXlab platform.
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Investor Sentiment with Information Shock in the Stock Market
Emerging Markets Finance and Trade, 2019Co-Authors: Chunpeng YangAbstract:In this article, we develop an asset pricing model with Investor Sentiment and public information, in which there is a shock of public information on Investor Sentiment. We find that public informa...
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Chasing Investor Sentiment in stock market
The North American Journal of Economics and Finance, 2019Co-Authors: Chunpeng YangAbstract:Abstract In this paper, we present a Sentiment asset pricing model with the Chasers, who believe Investor Sentiment has significant impact on asset pricing and tend to chase Investor Sentiment, optimally inferring Investor Sentiment from asset price. We find that the impact of Investor Sentiment on asset price depends not only on the number of the Sentiment Investors but also on the number of the Chasers; and the Chasers can amplify the impact of Investor Sentiment on asset price. If Investor Sentiment is optimistic, the Chasers would increase stock price; and if Investor Sentiment is pessimistic, the Chasers would decrease stock price. Moreover, we demonstrate that the Chasers can also increase stock price volatility. The model could offer a partial explanation to the phenomenon of overvaluation, undervaluation and excess volatility.
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Investor trading behavior, Investor Sentiment and asset prices
The North American Journal of Economics and Finance, 2015Co-Authors: Chunpeng Yang, Liyun ZhouAbstract:Abstract This paper examines the roles of Investor trading behavior and Investor Sentiment on asset prices. We find that both the Investor trading behavior and Investor Sentiment have significant effects on excess returns beyond the three factors of Fama and French (1993) , and more importantly, the Investor trading behavior has more significant impacts on excess returns than Investor Sentiment. Furthermore, the empirical results reveal that the impacts of Investor trading behavior and Investor Sentiment on the excess returns of small stocks are greater than large stocks, which is failure to explain small stock returns in Fama and French, 1993 , Fama and French, 2012 , Fama and French, 2015 . Moreover, this paper demonstrates the term structure of Investor Sentiment effect and the term structure of Investor trading behavior effect. Collectively, our findings support the roles of Investor trading behavior and Investor Sentiment on the formation of excess returns.
Sidika Gulfem Bayram - One of the best experts on this subject based on the ideXlab platform.
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does Investor Sentiment predict mexican equity returns
International Journal of Managerial Finance, 2018Co-Authors: Daniel Listonperez, Patricio Torrespalacio, Sidika Gulfem BayramAbstract:Purpose The purpose of this paper is to test whether Investor Sentiment is a significant predictor of future Mexican stock market returns. It also estimates the dynamic correlation between Investor Sentiment and equity returns. Finally, it examines if Investor Sentiment innovations impact unexpected returns for a variety of portfolios. Design/methodology/approach This study utilizes predictive regressions to determine if Sentiment can predict Mexican equity returns. Multivariate GARCH models are estimated to examine the time-varying correlations between Investor Sentiment and equity returns. Findings The results show that Mexican Investor Sentiment is a significant predictor of Mexican equity returns for up to 24 months ahead. The findings show that high levels of Sentiment today are associated with lower equity returns over the near term. Furthermore, multivariate GARCH estimations indicate that the correlation between Investor Sentiment and equity returns is not static and varies considerably over time. Finally, the findings indicate that Sentiment innovations are significantly correlated with unexpected returns, reinforcing the notion that unexplained Sentiment fluctuations lead to unexplained changes in stock market returns. Overall, these results suggest that Investor Sentiment is a significant source of risk for the Mexican stock market. Originality/value This study seeks to further our understanding of how behavioral factors influence and predict Mexican equity returns.
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The Impact of Political Variables on Stock Returns and Investor Sentiment
Social Science Research Network, 2014Co-Authors: Daniel Perez-liston, H. Gin Chong, Sidika Gulfem BayramAbstract:In this paper, we employ econometric techniques to examine the impact of political variables on Investor Sentiment, stock market returns, and the covariance between Investor Sentiment and equity returns. Similar to prior studies our results indicate that stock market returns are higher during Democratic presidencies. Contrast we also find that both Investor Sentiment and the covariance between Investor Sentiment and stock returns are both higher when Democrats control the White House. Our results seem to suggest that political variables not only influence stock returns, but they also influence the way Investors feel about the market.
