Do Investors' Sentiment Dynamics affect Stock Returns? Evidence from the US Economy

Theologos Dergiades

Discussion Paper Series from Department of Economics, University of Macedonia

Abstract: 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 (J. Econ. Perspect. 16: 129-151, 2007) and within a non-linear causality framework, we found that sentiment embodies signi cant predictive power with respect to stock returns.

Keywords: Investors' sentiment; Stock returns; Non-linear Granger causality. (search for similar items in EconPapers)
JEL-codes: C14 C22 G11 G14 (search for similar items in EconPapers)
Date: 2012-04, Revised 2012-04
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (31)

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Related works:
Journal Article: Do investors’ sentiment dynamics affect stock returns? Evidence from the US economy (2012)
Working Paper: Do Investors' Sentiment Dynamics affect Stock Returns? Evidence from the US Economy (2011)
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