Investor Sentiment and the Cross-Section of Stock Returns

By Ming-zhao Wang. 2009

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Predicting market returns using aggregate implied cost of capital (2013, unknown): “…Guo (2006); long-term government bond yield: Campbell (1987) and Keim and Stambaugh (1986); lagged stock returns (Fama and French (1988b)); consumption-to-wealth ratio (Lettau and Ludvigson (2001)); investmentto-capital ratio (Cochrane (1991)), and the sentiment measures (Baker and Wurgler (2006)).”
Investor sentiment and the MAX effect (2014, methodology): “The sentiment index most commonly employed in these studies is that of Baker and Wurgler (2006). The BW sentiment index is the first principal component of six underlying sentiment proxies: closed-end fund discount, the number and the first-day returns of IPOs, NYSE turnover, the equity share in tot”
The contagion effect of international crude oil price fluctuations on Chinese stock market investor sentiment (2017, background): “In addition, considering the investor sentiment is not only influenced by cognitive psychological factors, but also affected by macroeconomic factors [48,50].”