Published stock recommendations as institutional investor sentiment in the near-term stock market
AbstractThis paper investigates the role of published stock recommendations in print and online media as investor sentiment in the near-term German stock market. In line with extant literature on other sentiment measures, vector autoregressions reveal that past stock returns drive today's sentiment, but not the other way around, and that sentiment is a powerful predictor of itself. In particular, sentiment based on printed analyst recommendations follows reversals, that is, when analysts face a stock market downturn, they see a buying opportunity and become optimistic. --
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Bibliographic InfoPaper provided by University of Rostock, Institute of Economics in its series Thuenen-Series of Applied Economic Theory with number 121.
Date of creation: 2012
Date of revision:
analyst forecasts; investor sentiment; media content; VAR analysis;
Find related papers by JEL classification:
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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