Investor Sentiment and Asset Valuation

By Gregory W. Brown, Michael T. Cliff. 2005

1,119 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Strategy and Management

View Paper: https://www.semanticscholar.org/paper/52bef0f2fbaead322e7788e9686e837986a9b1ba

How researchers see this paper

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

In Finance

1. Don Bredin
2. Deven Bathia
3. Avanidhar Subrahmanyam
4. David C. Ling
5. A. Naranjo
6. Benjamin Scheick
7. Mohamed Zouaoui
8. F. Beer

In Management Science and Operations Research

1. Maik Schmeling
2. Avanidhar Subrahmanyam
3. Mohamed Zouaoui
4. F. Beer
5. Deven Bathia
6. Benjamin Scheick
7. David C. Ling
8. Bayram Veli Salur

In Strategy and Management

1. Maik Schmeling
2. Mohamed Zouaoui
3. F. Beer
4. Deven Bathia
5. Benjamin Scheick
6. David C. Ling
7. Bayram Veli Salur
8. Pilar Corredor

Citations in the corpus

• Can investor sentiment be a momentum time-series predictor? Evidence from China (2017, background): “Besides, Brown and Cliff (2005) and Baker and Wurgler (2006) point out that sentiment tends to have a long-lasting effect, so that the demand shocks of uninformed investors (e.g. noise traders) may be correlated over time to give rise to strong and persistent mispricing.”
• Investor sentiment in the stock market (2013, positive): “Several studies ((Fisher & Statman, 2003), (Baker & Wurgler, 2006), (Brown & Cliff, 2005) and (Lemmon & Portniaguina, 2006)) showed that sentiment has impact on stock returns in the US stock market.”
• Investor sentiment effect in stock markets: Stock characteristics or country-specific factors? (2013, methodology): “The focus of our study is on the long-run relationship between the level of investor sentiment and stock returns, because mispricing can be a long-run phenomenon (Brown and Cliff (2005)).”
• Investor sentiment and its nonlinear effect on stock returns—New evidence from the Chinese stock market based on panel quantile regression model (2015, background): “With regard to unexpected demand shock, Brown and Cliff (2005) think that demand shocks can be correlated over time to make mispricing persist.”
• How Does Investor Sentiment Affect Stock Market Crises? Evidence from Panel Data (2011, positive): “Numerous significant publications focus on the impact of sentiment on future stock returns (Fisher and Statman, 2000; Brown and Cliff, 2005).”
• The effects of national culture and behavioral pitfalls on investors' decision-making: Herding behavior in international stock markets ☆ (2015, background): “Brown and Cliff (2005) conclude that lower returns result from investors' excessive optimism, while Kutsuna, Smith, and Smith (2009) report that investors' excessive optimism causes underwriters to adjust IPO offer prices upwards. Overconfidence refers to the perception of people that they aremore c”
• Forecasting Abnormal Stock Returns and Trading Volume Using Investor Sentiment: Evidence from Online Search ? (2011, background): “Building on the work of Da et al. (2009), we posit that ticker search serves as a valid proxy for a unique construct developed in the finance literature, namely, investor sentiment.”
• Investor Sentiment, Trading Behavior and Informational Efficiency in Index Futures Markets (2008, methodology): “Therefore, it is possible that transitory volatility observed at intraday frequencies declines in periods of high investor sentiment, whereas, as Brown and Cliff (2005) show, long-horizon pricing errors increase.10”