Investor Sentiment and the Near-Term Stock Market

By Gregory W. Brown, Michael T. Cliff. 2001

1,358 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/3e663e2e4519f5499f52857796e7edddc4aeb5e0

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Guofu Zhou
2. Maik Schmeling
3. Jun Tu
4. Fuwei Jiang
5. Mohamed Zouaoui
6. F. Beer
7. Genevieve Nouyrigat
8. Jianfeng Yu

In Finance

1. Guofu Zhou
2. Maik Schmeling
3. Jun Tu
4. Fuwei Jiang
5. David C. Ling
6. A. Naranjo
7. Mohamed Zouaoui
8. F. Beer

In Management Science and Operations Research

1. Jun Tu
2. Jianfeng Yu
3. Maik Schmeling
4. Mohamed Zouaoui
5. J. Diaz
6. F. Beer
7. Benjamin Scheick
8. David C. Ling

Citations in the corpus

• Investor sentiment, trading behavior and stock returns (2017, background): “…provide empirical evidence that the sentiment and trading behaviour of market participants can significantly affect asset returns in real-world financial markets (Baker and Wurgler 2006, 2007; Baker, Wurgler, and Yuan 2012; Brown and Cliff 2004; Greenwood and Shleifer 2014; Kim, Ryu, and Seo 2014).”
• The contagion effect of international crude oil price fluctuations on Chinese stock market investor sentiment (2017, background): “Direct indicators: investor intelligence index [41,42], analyst recommendation [41], consumer confidence index [41,43], etc.”
• Overnight Returns and Firm-Specific Investor Sentiment (2018, neutral): “1Studies include those by Arif and Lee (2014), Baker and Wurgler (2006), Brown and Cliff (2004), (2005), Brown, Christensen, Elliott, and Mergenthaler (2012), Gao and Suss (2015), Huang, Jiang, Tu, and Zhou (2015), Lee, Shleifer, and Thaler (1991), Lemmon and Portniaguina (2006), Ljungqvist, Nanda,…”
• A Liquidity-Based Theory of Closed-End Funds (2009, result): “(1991), confirming the negative results of Lemmon and Portniaguina (2006), Qiu and Welch (2006) and Brown and Cliff (2004).”
• Investor Sentiment and the Mean-Variance Relation (2011, background): “investor sentiment predicts market returns in both the short run (Simon andWiggins, 2001; Brown and Cliff, 2004; Kaniel, Saar, and Titman, 2006) and the long run (Brown and Cliff, 2005; Yuan, 2005).”
• The Long of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns (2014, neutral): “2Other studies that document the ability of sentiment measures to predict returns include Brown and Cliff (2004, 2005), Lemmon and Portniaguina (2006), Baker and Wurgler (2007, 2012), Livnat and Petrovic (2008), Baker, Wurgler, and Yuan (2012), Antoniou, Doukas, and Subrahmanyam (2013), Stambaugh,…”
• Manager sentiment and stock returns (2019, background): “Brown and Cliff (2004, 2005) find that a survey-based investor sentiment measure has significant return predictability over long run horizons exceeding one year. Baker, Wurgler, and Yuan (2012) find that global sentiment in year t− 1 significantly predicts the following 12 month country-level market”