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Investor Sentiment and Stock Returns: Evidence from the Athens Stock Exchange

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  • Gizelis, Demetrios
  • Chowdhury, Shah

Abstract

A plethora of academic research has been under way investigating the effect of individual investor sentiment on stock returns. It seems that the issue is not resolved yet because the empirical findings are not entirely conclusive. Most authors argue that there is a place for sentiment as a determining factor in the stock retu rn generating process while several others find that it is exactly the opposite. This paper aims at contributing to the existing debate by examining the relationship between investor sentiment and stock market returns of firms listed in the Athens Stock Exchange. We employ two investor sentiment prox ies, a direct and an indirect. As the direct me asurement of sentiment we use the historical investor sentiment indicators compiled by the European Commission, and for the indirect one we resort to the closed - end equity fund discount/premium. Using monthly data for the period January 199 5 to April 2014 the regression results indicate that investor sentiment weakly explains returns. B ecause this type of risk is not diversifiable, for practical purposes somehow it ought to be priced. Thus, it appears t hat behavio ral factors may be consider ed in empirical asset pricing models for the Greek market.

Suggested Citation

  • Gizelis, Demetrios & Chowdhury, Shah, 2016. "Investor Sentiment and Stock Returns: Evidence from the Athens Stock Exchange," MPRA Paper 71243, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:71243
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    References listed on IDEAS

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    Cited by:

    1. ALAJEKWU, Udoka Bernard & OBIALOR, Michael Chukwumee & OKORO, Cyprian Okey, 2017. "Ffect Of Investor Sentiment On Future Returns In The Nigerian Stock Market," Annals of Spiru Haret University, Economic Series, Universitatea Spiru Haret, vol. 17(2), pages 103-126.
    2. Ngoc Bao Vuong, Yoshihisa Suzuki, 2020. "Does Fear has Stronger Impact than Confidence on Stock Returns?The Case of Asia-Pacific Developed Markets," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 67, pages 157-175, July.
    3. Ngoc Bao Vuong & Yoshihisa Suzuki, 2022. "The Moderating Effect of Market-Specific Factors on the Return Predictability of Investor Sentiment," SAGE Open, , vol. 12(3), pages 21582440221, July.

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    Keywords

    Keywords: Investor sentiment; Greek stock market; Return predictability;
    All these keywords.

    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles

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