The DOI matches its Crossref record; 135 of the 135 references it cites were found in a registry or an index.
Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
Open accessAbstract
We propose a new investor sentiment index that is aligned with the purpose of predicting the aggregate stock market. By eliminating a common noise component in sentiment proxies, the new index has much greater predictive power than existing sentiment indices both in- and out-of-sample, and the predictability becomes both statistically and economically significant. In addition, it outperforms well recognized macroeconomic variables and can also predict cross-sectional stock returns sorted by industry, size, value, and momentum. The driving force of the predictive power appears stemming from investors’ biased belief about future cash flows.
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Investor Sentiment and the Cross‐Section of Stock Returns
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Cited by
Can economic policy uncertainty predict stock returns? Global evidence
Phan, D. H. B., Sharma, S. S., & Tran, V. T. (2018) · Journal of International Financial Markets, Institutions and Money · doi:10.1016/j.intfin.2018.04.004 · Cited by 282
Machine Learning vs. Economic Restrictions: Evidence from Stock Return Predictability
Avramov, D., Cheng, S., & Metzker, L. (2023) · Management Science · doi:10.1287/mnsc.2022.4449 · Cited by 217
Machine Learning Versus Economic Restrictions: Evidence from Stock Return Predictability
Avramov, D., Cheng, S., & Metzker, L. (2019) · SSRN Electronic Journal · doi:10.2139/ssrn.3450322 · Cited by 74
Metadata
- Authors
- Huang, D., Jiang, F., Tu, J., & Zhou, G.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2014-10-31
- Volume
- 28
- Issue
- 3
- Pages
- 791-837
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W2101620928
- Cited by
- 1,123
- References
- 135
- FWCI
- 58.67
- Type
- journal article
- Language
- en
- Open access
- green
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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