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Cited by 1,018

The DOI matches its Crossref record; 60 of the 60 references it cites were found in a registry or an index.

Global, local, and contagious investor sentiment

Open access
Baker, Malcolm, Wurgler, Jeffrey, Yuan, Yu·2012·Journal of Financial Economics
DOI 10.1016/j.jfineco.2011.11.002
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Abstract

We construct investor sentiment indices for six major stock markets and decompose them into one global and six local indices. In a validation test, we find that relative sentiment is correlated with the relative prices of dual-listed companies. Global sentiment is a contrarian predictor of country-level returns. Both global and local sentiment are contrarian predictors of the time-series of cross-sectional returns within markets: When sentiment is high, future returns are low on relatively difficult to arbitrage and difficult to value stocks. Private capital flows appear to be one mechanism by which sentiment spreads across markets and forms global sentiment.

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Metadata

Authors
Baker, M., Wurgler, J., & Yuan, Y.
Venue
Journal of Financial Economics
Publisher
Elsevier BV
Published
2012-05
Volume
104
Issue
2
Pages
272-287
ISSN
0304-405X (ISSN-L)
DOI
10.1016/j.jfineco.2011.11.002
OpenAlex
W3123834602
Cited by
1,018
References
60
FWCI
69.42
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: Global, local, and contagious investor sentiment. https://app.cochat.ai/papers/10.1016/j.jfineco.2011.11.002
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Baker, M., Wurgler, J., & Yuan, Y. (2012). Global, local, and contagious investor sentiment. Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2011.11.002

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.