The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Consumer Confidence and Asset Prices: Some Empirical Evidence
Abstract
We explore the time-series relationship between investor sentiment and the small-stock premium using consumer confidence as a measure of investor optimism. We estimate the components of consumer confidence related to economic fundamentals and investor sentiment. After controlling for the time variation of beta, we study the time-series variation of the pricing error with sentiment. Over the last 25 years, investor sentiment measured using consumer confidence forecasts the returns of small stocks and stocks with low institutional ownership in a manner consistent with the predictions of models based on noise-trader sentiment. Sentiment does not appear to forecast time-series variation in the value and momentum premiums. (JEL G10, G12, G14)
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Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors
Barber, B. M., & Odean, T. (2000) · The Journal of Finance · doi:10.1111/0022-1082.00226 · Cited by 3,955
Cited by
Measuring investor sentiment with mutual fund flows
Ben-Rephael, A., Kandel, S., & Wohl, A. (2012) · Journal of Financial Economics · doi:10.1016/j.jfineco.2010.08.018 · Cited by 358
Investor sentiment in the stock market
Baker, M., & Wurgler, J. (2007) · Journal of Economic Perspectives · doi:10.1257/jep.21.2.129 · Cited by 94
Metadata
- Authors
- Lemmon, M., & Portniaguina, E.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2006
- Volume
- 19
- Issue
- 4
- Pages
- 1499-1529
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W3122268379
- Cited by
- 958
- References
- 2
- FWCI
- 17.60
- Type
- journal article
- Language
- en
- Open access
- closed
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