Consumer Confidence and Asset Prices: Some Empirical Evidence

By Mike Lemmon, Evgenia Portniaguina. 2006

1,013 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/899f783fb6305a246a531f1cfae30bbf2ce944cf

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Citations in the corpus

Googling Investor Sentiment around the World (2019, neutral): “and Cliff (2004), Lemmon and Portniaguina (2006), and Qiu and Welch (2004) use survey-based”
Measuring Investor Sentiment with Mutual Fund Flows (2012, neutral): “Lemmon and Portniaguina (2006) find that this measure predicts the subsequent returns of small vs. big stocks.”
Institutional and individual sentiment: Smart money and noise trader risk? (2006, background): “…in- vestors (left part of the table) consistently adjust their sentiment downwards (upwards) when they expect individual sentiment to be high (low) which is consistent with the noise trader risk story of Brown and Cliff (2005) and Lemmon and Portniaguina (2006) as well as our hypothesis 3a.”
When does investor sentiment predict stock returns (2012, neutral): “Qiu and Welch (2004) and Lemmon and Portniaguina (2006) document that consumer confidence is an adequate proxy for investor sentiment and is able to predict the subsequent portfolio returns for small stocks.”
Country-Specific Sentiment and Security Prices (2011, positive): “In comparison, when Lemmon and Portniaguina (2006) examine the effect of consumer confidence on the size premium, the incremental R-squared of consumer confidence in the post-1977-period ranges from 5% to 11%.”
Divergence of Sentiment and Stock Market Trading (2017, neutral): “Sentiment levels have previously been established by household survey data (Brown and Cliff, 2004; Lemmon and Portniaguina, 2006; Qiu and Welch, 2006; Schmeling, 2009; Kaplanski et al., 2015), economic and financial variables (Lee et al., 1991; Baker and Wurgler, 2007; Brown et al., 2008; Firth et…”
Investor Sentiment as Conditioning Information in Asset Pricing (2009, methodology): “For these non-monthly data, we use the most recently available observations for the current month to align the time-series frequency of the sentiment indices with monthly stock returns (see also, Lemmon and Portniaguina, 2006).”
Sentiment during recessions∗ (2011, neutral): “9See Brown and Cliff (2004, 2005), Qiu and Welch (2006) and Lemmon and Portniaguina (2006) for some recent research on sentiment measures and stock returns.”
Manager sentiment and stock returns (2019, background): “As highlighted by Shleifer and Vishny (1997), Baker and Wurgler (2006, 2007) and Stambaugh, Yu, and Yuan (2012), firms that are hard to value tend to be more sensitive to irrational speculation from sentiment investors.”
Investor sentiment and its nonlinear effect on stock returns—New evidence from the Chinese stock market based on panel quantile regression model (2015, background): “Lemmon and Portniaguina (2006) find that investor sentiment has a negative effect on value stocks, but has no significant effect on growth stocks.”