Investor sentiment and return predictability of disagreement

By J. Kim, Doojin Ryu, Sung Won Seo. 2014

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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).”
Retail investor attention and stock price crash risk: Evidence from China (2019, background): “…biases of investors (e.g., overconfidence and herd mentality), mispricing could be strengthened and price discovery could be further delayed (Hou et al., 2006; Baker and Wurgler, 2006; Kumar and Lee, 2006; Seybert and Yang, 2012; Wurgler, 2012; Kim et al., 2014; Stambaugh et al., 2012, 2014).”
The contagion effect of international crude oil price fluctuations on Chinese stock market investor sentiment (2017, background): “At present, there are many applications of investor sentiment on the stock market, mainly focusing the influence of investor sentiment on stock returns [7,13–15], the forecast of stock returns [8,16,17], impact on stock market volatility [18], and the relationship between investor sentiment and diff”