Published stock recommendations as institutional investor sentiment in the near-term stock market
This 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.
|Date of creation:||2012|
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- Finter, Philipp & Niessen-Ruenzi, Alexandra & Ruenzi, Stefan, 2010.
"The impact of investor sentiment on the German stock market,"
CFR Working Papers
10-03, University of Cologne, Centre for Financial Research (CFR).
- Finter, Philipp & Niessen-Ruenzi, Alexandra & Ruenzi, Stefan, 2011. "The impact of investor sentiment on the German stock market," CFR Working Papers 10-03 [rev.], University of Cologne, Centre for Financial Research (CFR).
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