Does investor sentiment dynamically impact stock returns from different investor horizons? Evidence from the US stock market using a multi-scale method

In recent years, the issue of financial behaviour and the impact of investors’ sentiments on their decision making have become such a popular issue. The sentiments of financial activists affect the market price of financial assets and particularly stocks, and therefore it is included in the new pricing models of capital assets. In this article, we seek the effect of investors’ sentiments on the dynamics of the Iranian stock market (TSE). To do this, among the companies accepted in the stock market we select 120, considering the research criteria and screening method, we examined TSE specifics throughout 2010-2018 using regression analysis and causality test. Our results show that firstly investors’ sentiments have a direct effect on the stock returns and there is a bilateral relationship between them. Secondly, inflation has the opposite effect and economic growth has a direct and positive effect on the relationship between investor sentiment and stock returns. Finally, government spending has no significant effect on the relationship between investor sentiment and stock returns.

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Measuring Stock Market Investor Sentiment

Journal of Applied Business Research (JABR) ◽

10.19030/jabr.v29i1.7555 ◽

2012 ◽

Vol 29 (1) ◽

pp. 51 ◽

Cited By ~ 7

Author(s):

Francisca Beer ◽

Mohamed Zouaoui

Keyword(s):

Stock Market ◽

Stock Returns ◽

Behavioral Finance ◽

Hybrid Approach ◽

Composite Index ◽

Investor Sentiment ◽

Predictive Ability ◽

Relative Performance ◽

Relative Efficacy ◽

Noise Traders

Recently, investor sentiment measures have become one of the more widely examined areas in behavioral finance. A number of measures have been developed in the literature without having been fully validated, and therefore leaving in question which measure should be used for empirical exploration. The purpose of this study is to examine the relative performance of a number of popular measures in predicting stock returns and to test the relative efficacy of a hybrid approach. Using a panel of investor sentiment measures, we develop a new measure of sentiment which combines direct and indirect sentiment measures. Our results show that our composite sentiment index affects the returns of stocks hard to value and difficult to arbitrage consistent with the predictions of noise traders models. Finally, we find that our composite index has a better predictive ability than the alternative sentiment measures largely used in the literature.

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Stock Returns and The Weather Effect: the Case of Ghana

10.20944/preprints202009.0388.v1 ◽

2020 ◽

Author(s):

Sampson Atuahene ◽

Kong Yusheng ◽

Geoffrey Bentum-Micah

Keyword(s):

Stock Market ◽

Stock Returns ◽

Stock Exchange ◽

Investor Sentiment ◽

Weather Conditions ◽

Market Returns ◽

Stock Market Returns ◽

Economic Significance ◽

Weather Changes ◽

Brokerage Firms

In every economy, Stock markets are part of the key elements the build it up. A few decades ago, there has been a significant change in Ghana stock market returns (GSE). Our study examines the statistical and economic significance of investor sentiment, based on weather conditions/changes, on stock market returns. OLS models, assisted by unit root tests were employed in analyzing the data obtained from the Ghana stock exchange platform from 2000 to 2017. From our literature review, we discovered that investors’ perceptions play a central role in finalizing the direction of stock market returns. Regarding our empirical results, we tested whether weather variations influence the investment decisions of investors; we discovered that temperature and cloud cover significantly influences stock market returns. This is because of mood changes is associated with weather conditions variations. However, sunshine per our regression coefficient shows a statistically insignificant impact on investors’ investment choices. Precipitation to a large extend influence stock market activities further affecting its results negatively as our regression results depicted. We concluded stock brokerage firms, companies, and investors (foreign/local) must incorporate weather changes/effects when strategizing about their investment outcomes.

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Investor Sentiment in Stock Market: A Case of Pakistan Super League in Pakistan Stock Exchange

Journal of Business & Tourism ◽

10.34260/jbt.v4i2.165 ◽

2021 ◽

Vol 4 (2) ◽

pp. 101-121

Author(s):

FURQAN ULLAH ◽

MUHAMMAD ASIF ◽

MUHAMMAD ZAHID ◽

FAIZA MEHREEN

Keyword(s):

Stock Market ◽

Stock Returns ◽

United Arab Emirates ◽

Behavioral Finance ◽

Abnormal Return ◽

Stock Exchange ◽

Investor Sentiment ◽

Sports Events ◽

Investor Sentiments ◽

Super League

This study investigates whether sentiments play any role while investors make financial decisions which results in the stock returns. The paper analyzes the major two sports events (2016-2017) of Pakistan Super League (PSL). The study utilizes the stock market data from Pakistan Stock Exchange (PSX)-100 index for the period of two financial years starting from June 2015 to July 2017. PSL T20 data is collected from the official PSL website. The empirical results of the studyshow that PSL sports events are highly statistically significant and imply that the events trigger investor sentiments (optimistic and pessimistic behaviors) in the PSX.When the whole PSL games were played on United Arab Emirates (UAE) grounds in 2016, later on, which badly affected the investor moods and resulted in a negative abnormal return in PSX-100 index. While in case of PSL event in 2017, in which only final match of the event was held in Lahore, Pakistan and resulted in a positive abnormal return in PSX-100 index. The study provides implications for different authorities such as Pakistan Cricket Board (PCB), PSX and other development authorities in order to promote such activities for the overall economic and social benefits. While founding no previous studies concerning the subject in the Pakistani context, the Scholar selected the issue to conduct a research and make a considerable contribution for investors in Pakistan with respect to PSL events and its impact on PSX. Keywords: Investor Sentiments, Stock returns, behavioral finance, Pakistan Super League, Pakistan Stock Exchange

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Investor sentiment, customer satisfaction and stock returns

European Journal of Marketing ◽

10.1108/ejm-01-2014-0026 ◽

2015 ◽

Vol 49 (5/6) ◽

pp. 827-850 ◽

Cited By ~ 9

Author(s):

Chi-Lu Peng ◽

Kuan-Ling Lai ◽

Maio-Ling Chen ◽

An-Pin Wei

Keyword(s):

Customer Satisfaction ◽

Stock Market ◽

Stock Returns ◽

Abnormal Returns ◽

Investor Sentiment ◽

Intangible Asset ◽

Time Varying ◽

Emotional States ◽

Content Type ◽

Intangible Information

Purpose – This study aims to investigate whether and how different sentiments affect the stock market’s reaction to the American Customer Satisfaction Index (ACSI) information. Design/methodology/approach – The portfolio approach, with time-varying risk factor loadings and the asset-pricing models, is borrowed from the finance literature to investigate the ACSI-performance relationship. A direct sentiment index is used to examine how investors’ optimistic, neutral and pessimistic sentiments affect the aforementioned relation. Findings – This paper finds that customer satisfaction is a valuable intangible asset that generates positive abnormal returns. On average, investing in the Strong-ACSI Portfolio is superior to investing in the market index. Even when the stock market holds pessimistic beliefs, investors can beat the market by investing in firms that score well on customer satisfaction. The out-performance of our zero-cost, long–short ACSI strategy also confirms the mispricing of ACSI information in pessimistic periods. Research limitations/implications – Findings are limited to firms covered by the ACSI data. Practical implications – Finance research has further documented evidence of the stock market under-reacting to intangible information. For example, firms with higher research and development expenditures, advertising, patent citations and employee satisfaction all earn superior returns. Literature also proves that investors efficiently react to tangible information, whereas they undervalue intangible information. In summary, combining our results and those reported in the literature, customer satisfaction is value-relevant for both investors and firm management, particularly in pessimistic periods. Originality/value – This study is the first to investigate how sentiment affects the positive ACSI-performance relationship, while considering the time-varying property of risk factors. This study is also the first to show that ACSI plays a more important role during pessimistic periods. This study contributes to the growing literature on the marketing–finance interface by providing better understanding of how investor emotional states affect their perceptions and valuations of customer satisfaction.

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Investor sentiment by relative strength index and stock return: Empirical evidence on Vietnam's stock market

Accounting ◽

10.5267/j.ac.2020.11.006 ◽

2021 ◽

pp. 451-456

Author(s):

Lai Cao Mai Phuong

Keyword(s):

Stock Market ◽

Stock Returns ◽

Stock Exchange ◽

Investor Sentiment ◽

Daily Basis ◽

Relative Strength ◽

Least Square ◽

Trading Behavior ◽

Strength Index ◽

Near Term

This article examines how investor sentiment affects stock returns on Vietnam's stock market. Investor sentiment index is measured by a relative strength index (RSI) of 57 companies listed on the Ho Chi Minh Stock Exchange from January 1, 2015 to July 31, 2020. Control variables include investors' stock trading behavior, firm size, and cash flow per share. Using Fama-MacBeth regression estimation and general least square estimation (GSL) on a daily basis, both methods find the sentiment of high investors producing higher stock returns, on the contrary, the sentiment of low investors erodes stock returns. Different from the results of Brown and Cliff (2004) [Brown, G. W., & Cliff, M. T. (2004). Investor sentiment and the near-term stock market. Journal of empirical finance, 11(1), 1-27], the article found that the investor sentiment factor plays the most important role in explaining the return of the stock market compared to the rest of the factors.

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