Do Investors' Sentiment Dynamics affect Stock Returns? Evidence from the US Economy
This paper contributes to the understanding of the non-linear causal linkage between investors' sentiment dynamics and stock returns for the US economy. Employing the sentiment index developed by Baker and Wurgler (J. Econ. Perspect. 16: 129-151, 2007) and within a non-linear causality framework, we found that sentiment embodies signi cant predictive power with respect to stock returns.
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