Investor sentiment effect in stock markets: Stock characteristics or country-specific factors?

Pilar Corredor, Elena Ferrer and Rafael Santamaria

International Review of Economics & Finance, 2013, vol. 27, issue C, 572-591

Abstract: This paper analyzes the investor sentiment effect in four key European stock markets: France, Germany, Spain and the UK. The findings show that sentiment has a significant influence on returns, varying in intensity across markets. The variation appears to involve both stock characteristics and cross-country cultural or institutional differences. The results also show sensitivity to the choice of sentiment proxy, suggesting the need for further investigation.

Keywords: Sentiment; Stock markets; Stock characteristics; Country-specific factors; European stock markets (search for similar items in EconPapers)
JEL-codes: G10 G14 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (55)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:27:y:2013:i:c:p:572-591

DOI: 10.1016/j.iref.2013.02.001

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