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Sentiment and blue-chip returns. Firm level evidence from a dynamic threshold model

Listed author(s):
  • Jaroslav Bukovina

    ()

    (Department of Finance, Faculty of Business and Economics, Mendel University in Brno)

Registered author(s):

    The higher impact of sentiment on small and young companies due to higher transaction and information costs is a generally agreed notion. In contrast, the paper is focused on the relationship between sentiment and blue-chip stocks. The author contributes with the proposal of theoretical background that blue-chip stocks can reflect sentiment in periods of occasional excessive social activity despite the existence of smart-money investors. The author employs the appropriate empirical methods, specifically dynamic threshold model, to analyze such a relationship because standard regression is not appropriate. In addition, the paper contribution is the employment of unique data of Facebook activity as a sentiment gauge. Overall, the author finds the high level of social activity connected with negative sentiment with inverse but occasional influence at stock price returns.

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    File URL: ftp://ftp.mendelu.cz/RePEc/men/wpaper/53_2015.pdf
    File Function: Full text
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    Paper provided by Mendel University in Brno, Faculty of Business and Economics in its series MENDELU Working Papers in Business and Economics with number 2015-53.

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    Length: 13
    Date of creation: Jun 2015
    Handle: RePEc:men:wpaper:53_2015
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