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

Theologos Dergiades

MPRA Paper from University Library of Munich, Germany

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 significant 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: 2011-11-15, Revised 2011-11-15
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Published in Economics Letters 3.116(2012): pp. 404-407

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/51128/1/MPRA_paper_51128.pdf original version (application/pdf)

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 (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:51128

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().