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Quand la psychologie et la linguistique rencontrent la finance : le cas de la France

Author

Listed:
  • Fabrice Hervé

    (CREGO - Centre de Recherche en Gestion des Organisations (EA 7317) - UB - Université de Bourgogne - UFC - Université de Franche-Comté - UBFC - Université Bourgogne Franche-Comté [COMUE])

  • Mohamed Zouaoui

    (CREGO - Centre de Recherche en Gestion des Organisations (EA 7317) - UB - Université de Bourgogne - UFC - Université de Franche-Comté - UBFC - Université Bourgogne Franche-Comté [COMUE])

Abstract

En Finance, la mesure du sentiment des investisseurs reste largement débattue. Dans cet article, nous utilisons la mesure du sentiment GTNS développée par Beer et al. (2013). Cette dernière s'appuie sur des résultats de recherche issus de la psychologie et de la linguistique. L'objectif principal de cet article consiste à analyser l'impact de cette mesure du sentiment des investisseurs sur les rentabilités boursières des entreprises françaises. En utilisant la méthodologie de Baker et Wurgler (2006), nous montrons, à partir d'un travail empirique sur la France, que les rentabilités des actions difficiles à évaluer et à arbitrer sont influencées par le sentiment des investisseurs. Cet effet, prononcé dans le court terme, disparaît toutefois dans le long terme. [English] In the financial field, measures of investor sentiment are regularly debated. In this paper, we use the GTNS measure of Beer et al. (2013). It is based on research results coming from psychology and natural language processing. In this paper, we study the impact of this measure of investor sentiment on the French stock returns. Using the Baker and Wurgler (2006) methodology, we show – in a French experiment - that the returns of stocks that are hard to value and hard to arbitrage are affected by investor sentiment. This effect is significant in the short run, but disappears in the long run.

Suggested Citation

  • Fabrice Hervé & Mohamed Zouaoui, 2014. "Quand la psychologie et la linguistique rencontrent la finance : le cas de la France," Post-Print halshs-01288095, HAL.
  • Handle: RePEc:hal:journl:halshs-01288095
    DOI: 10.4000/fcs.1458
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    Cited by:

    1. Hervé, Fabrice & Zouaoui, Mohamed & Belvaux, Bertrand, 2019. "Noise traders and smart money: Evidence from online searches," Economic Modelling, Elsevier, vol. 83(C), pages 141-149.

    More about this item

    Keywords

    G11 - Portfolio Choice; Investment Decisions; G12 - Asset Pricing; G14 - Information and Market Efficiency; Event Studies; JEL;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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