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The Validity of Investor Sentiment Proxies

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  • Felix Chan
  • Robert B. Durand
  • Joyce Khuu
  • Lee A. Smales

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  • Felix Chan & Robert B. Durand & Joyce Khuu & Lee A. Smales, 2017. "The Validity of Investor Sentiment Proxies," International Review of Finance, International Review of Finance Ltd., vol. 17(3), pages 473-477, September.
    • Handle: RePEc:bla:irvfin:v:17:y:2017:i:3:p:473-477
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    File URL: http://hdl.handle.net/10.1111/irfi.12102
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    References listed on IDEAS

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    1. Malcolm Baker & Jeffrey Wurgler, 2006. "Investor Sentiment and the Cross‐Section of Stock Returns," Journal of Finance, American Finance Association, vol. 61(4), pages 1645-1680, August.
    2. Malcolm Baker & Jeffrey Wurgler, 2007. "Investor Sentiment in the Stock Market," Journal of Economic Perspectives, American Economic Association, vol. 21(2), pages 129-152, Spring.
    3. Hendershott, Terrence & Livdan, Dmitry & Schürhoff, Norman, 2015. "Are institutions informed about news?," Journal of Financial Economics, Elsevier, vol. 117(2), pages 249-287.
    4. Paul C. Tetlock & Maytal Saar‐Tsechansky & Sofus Macskassy, 2008. "More Than Words: Quantifying Language to Measure Firms' Fundamentals," Journal of Finance, American Finance Association, vol. 63(3), pages 1437-1467, June.
    5. Stambaugh, Robert F. & Yu, Jianfeng & Yuan, Yu, 2012. "The short of it: Investor sentiment and anomalies," Journal of Financial Economics, Elsevier, vol. 104(2), pages 288-302.
    6. Yu, Jianfeng & Yuan, Yu, 2011. "Investor sentiment and the mean-variance relation," Journal of Financial Economics, Elsevier, vol. 100(2), pages 367-381, May.
    7. Matthias W. Uhl, 2014. "Reuters Sentiment and Stock Returns," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 15(4), pages 287-298, October.
    8. Smales, Lee A., 2014. "News sentiment in the gold futures market," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 275-286.
    9. Krasker, William S & Pratt, John W, 1986. "Bounding the Effects of Proxy Variables on Regression Coefficients," Econometrica, Econometric Society, vol. 54(3), pages 641-655, May.
    10. Baker, Malcolm & Wurgler, Jeffrey & Yuan, Yu, 2012. "Global, local, and contagious investor sentiment," Journal of Financial Economics, Elsevier, vol. 104(2), pages 272-287.
    11. Paul C. Tetlock, 2007. "Giving Content to Investor Sentiment: The Role of Media in the Stock Market," Journal of Finance, American Finance Association, vol. 62(3), pages 1139-1168, June.
    12. Chung, San-Lin & Hung, Chi-Hsiou & Yeh, Chung-Ying, 2012. "When does investor sentiment predict stock returns?," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 217-240.
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    Cited by:

    1. Zhang, Zuochao & Zhang, Yongjie & Shen, Dehua & Zhang, Wei, 2018. "The cross-correlations between online sentiment proxies: Evidence from Google Trends and Twitter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 67-75.
    2. Steven Lehrer & Tian Xie & Tao Zeng, 2021. "Does High-Frequency Social Media Data Improve Forecasts of Low-Frequency Consumer Confidence Measures? [Regression Models with Mixed Sampling Frequencies]," Journal of Financial Econometrics, Oxford University Press, vol. 19(5), pages 910-933.
    3. Mariano González-Sánchez & M. Encina Morales de Vega, 2021. "Influence of Bloomberg’s Investor Sentiment Index: Evidence from European Union Financial Sector," Mathematics, MDPI, vol. 9(4), pages 1-21, February.
    4. Chiah, Mardy & Hu, Xiaolu & Zhong, Angel, 2022. "Photo sentiment and stock returns around the world," Finance Research Letters, Elsevier, vol. 46(PB).
    5. Durand, Robert B. & Khuu, Joyce & Smales, Lee A., 2023. "Lost in translation. When sentiment metrics for one market are derived from two different languages," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
    6. Ung, Sze Nie & Gebka, Bartosz & Anderson, Robert D.J., 2023. "Is sentiment the solution to the risk–return puzzle? A (cautionary) note," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).

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