Asymmetric effects of investor sentiment on industry stock returns: Panel data evidence

Chen, Mei‐Ping; Chen, Pei-Fen; Lee, Chien‐Chiang

doi:10.1016/j.ememar.2012.11.001

Cited by 89 publications

(69 citation statements)

References 84 publications

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“…The sample consists of 67,489 firm-year observations from 11,634 firms. As in past studies, data on stock returns, trading volume and control variables are obtained from Datastream (Ali, Ahmad, & Anusakumar, 2011;Chen et al, 2013). All data are denominated in US currency.…”

Section: Sample and Return Datamentioning

confidence: 99%

“…higher propensity to experience cognitive biases). Chen, Chen and Lee (2013) investigate the effect of sentiment in Asian markets. It should be noted that there are several key distinctions with our study in terms of study aim and design.…”

Section: Related Literaturementioning

confidence: 99%

“…Trading volume, in its capacity as a gauge of liquidity, has been suggested to be a measure of investor sentiment (Baker & Stein, 2004). Liao, Huang and Wu (2011), Baker and Wurgler (2006) and Chen et al (2013) among others use trading volume as a proxy for sentiment. In the interest of maintaining a consistent proxy of sentiment across markets, we adopt trading volume as measure of sentiment throughout this study.…”

Section: Investor Sentimentmentioning

confidence: 99%

“…Similarly, Schmeling (2009) also employed several macroeconomic variables in their panel regression. However, Chen et al (2013) chose business cycle as the sole factor to represent macroeconomic conditions. We undertake a similar procedure as in Schmeling (2009).…”

Section: Control Variablesmentioning

confidence: 99%

See 3 more Smart Citations

The Effect of Investor Sentiment on Stock Returns: Insight from Emerging Asian Markets

Anusakumar¹,

Ali²,

Hooy³

2017

AAMJAF

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Section: Sample and Return Datamentioning

confidence: 99%

Section: Related Literaturementioning

confidence: 99%

Section: Investor Sentimentmentioning

confidence: 99%

Section: Control Variablesmentioning

confidence: 99%

See 2 more Smart Citations

The Effect of Investor Sentiment on Stock Returns: Insight from Emerging Asian Markets

Anusakumar¹,

Ali²,

Hooy³

2017

AAMJAF

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show abstract

“…Previous studies do not specify the broker sentiment, and the notions of market sentiment and investor sentiment are interchangeable (Alimov & Mikkelson, 2012;Chen, Chen, & Lee, 2013;Berger & Turtle, 2012). Therefore the existing literature do not focus on the contagion of different sentiments in one market.…”

Section: Introductionmentioning

confidence: 99%

Asymmetric Investor Sentiment and Broker Sentiment Contagionin the U.S. Equity Market

Dong¹

2014

IJEF

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This paper uses two types of daily and monthly investor sentiment measures and an indicator of broker sentiment to identify the dynamic linkages of the investor and broker sentiments. I categorize market sentiment into extreme, modest, and representative levels. Then I use unrestricted VAR and Granger causality tests to reveal the sentiments spillover between the counterparties of equity transaction at positive and negative return environments. The main findings are: previous investor sentiments affect the current investor and broker sentiments in the same direction, yet previous broker sentiments do not significantly affect the current investor sentiment. Standard& Poor's 100, 500, and NASDAQ-based investor sentimentsshow frequent self-corrections, while the DOW-based sentiment is persistent. Furthermore, extremely negative investor sentimentasy mmetrically dominates the equity market.In addition, brokers only take the consensus of investor sentiments as reference for the bullish stocks; while for the bearish stocks, broker sentiment is mostly affected by the extreme investor gauges and less by consensus. Pessimistic broker sentiment is not the cause but the effect of investor fear.

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Investor sentiment and industry returns

Molchanov

Stangl

2018

Int. J Fin Econ

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This paper investigates the interaction between investor sentiment and industry performance. Investor sentiment has a widespread and systematic effect on performance, and predicts short-term mispricing at industry level.Predictable long-term reversals are weaker. We find limited evidence of cross-sectional industry differences. Moreover, there is no relationship between investor sentiment and industry characteristics that proxy valuation uncertainty. Results generally show that investor sentiment has a market-wide effect, questioning merit of industry timing strategy based on sentiment.

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Asymmetric effects of investor sentiment on industry stock returns: Panel data evidence

Cited by 89 publications

References 84 publications

The Effect of Investor Sentiment on Stock Returns: Insight from Emerging Asian Markets

The Effect of Investor Sentiment on Stock Returns: Insight from Emerging Asian Markets

Asymmetric Investor Sentiment and Broker Sentiment Contagionin the U.S. Equity Market

Investor sentiment and industry returns

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