 Sentiment and blue-chip returns. Firm level evidence from a dynamic threshold modelNo 2015-53, MENDELU Working Papers in Business and Economics from Mendel University in Brno, Faculty of Business and Economics Abstract: The higher impact of sentiment on small and young companies due to higher transaction and information costs is a generally agreed notion. In contrast, the paper is focused on the relationship between sentiment and blue-chip stocks. The author contributes with the proposal of theoretical background that blue-chip stocks can reflect sentiment in periods of occasional excessive social activity despite the existence of smart-money investors. The author employs the appropriate empirical methods, specifically dynamic threshold model, to analyze such a relationship because standard regression is not appropriate. In addition, the paper contribution is the employment of unique data of Facebook activity as a sentiment gauge. Overall, the author finds the high level of social activity connected with negative sentiment with inverse but occasional influence at stock price returns. Keywords: Blue-chip companies; sentiment; Facebook; dynamic threshold effects (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:men:wpaper:53_2015 Access Statistics for this paper More papers in MENDELU Working Papers in Business and Economics from Mendel University in Brno, Faculty of Business and Economics Contact information at EDIRC. |
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