Investor sentiment in the stock market

By Bayram Veli Salur. 2013

3,132 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/968bf2086aaf6e3d0ff03b79df70a6c19f0a0918

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Citations in the corpus

R2 and Idiosyncratic Risk are not Interchangeable (2014, background): “Baker and Wurgler (2006, 2007) provide evidence that idiosyncratic risk is a measure of cross-sectional sentiment beta (i.e., the sensitivity of a stock to market-wide sentiment).”
Policy Uncertainty and Corporate Investment (2015, unknown): “…GDP forecasts from the Philadelphia Federal Reserve’s biannual Livingstone survey, (ii) the Conference Board’s monthly Leading Economic Index (iii) the Michigan Consumer Confidence Index from the University of Michigan, and (iv) the monthly Investor Sentiment Index from Baker and Wurgler (2007).”
The importance of fear: investor sentiment and stock market returns (2017, unknown): “Baker and Wurgler (2007) state that there is no fundamental reason why such proxies may not remain useful over time.”
Dynamics of China’s carbon prices in the pilot trading phase (2017, methodology): “The Chinese VIX (CHVIX) index, which is regarded as the “investor fear gauge” (Baker and Wurgler, 2007), measures the implied volatility of options on China’s equity indices, and the most liquid derivatives markets using a methodology similar to the calculation of VIX.”
Understanding FX Liquidity (2015, unknown): “investor sentiment index Changes in the sentiment index is from Baker and Wurgler (2007), downloaded from Wurgler’s website.”
Stock closing price prediction based on sentiment analysis and LSTM (2019, unknown): “Baker and Wurgler [29, 30] constructed a sentiment index that reﬂects investor sentiment changes.”
Investor Attention and Stock Returns (2020, unknown): “We employ the investor sentiment index of Baker and Wurgler (2006) (SBW), which has been widely used by the literature, such as Baker and Wurgler (2007), Yu and Yuan (2011), Baker, Wurgler and Yuan (2012), Stambaugh, Yu, and Yuan (2012), and others.”
When does investor sentiment predict stock returns (2012, unknown): “, De Long, Shleifer, Summers and Waldman (DSSW), 1990; Brown and Cliff, 2005; and Baker and Wurgler, 2006). The reversal of stock prices from the mispriced levels to their fundamentals implies that sentiment is negatively correlated with future stock returns. As a result, investor sentiment may exhi”
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).”