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Investor Sentiment Aligned: A Powerful Predictor of Stock Returns

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Cited by:

  1. Gric, Zuzana & Ehrenbergerova, Dominika & Hodula, Martin, 2022. "The power of sentiment: Irrational beliefs of households and consumer loan dynamics," Journal of Financial Stability, Elsevier, vol. 59(C).
  2. Li, Yuan & Ran, Jimmy, 2020. "Investor Sentiment and Stock Price Premium Validation with Siamese Twins from China," Journal of Multinational Financial Management, Elsevier, vol. 57.
  3. ?ikolaos A. Kyriazis, 2021. "Impacts of Stock Indices, Oil, and Twitter Sentiment on Major Cryptocurrencies during the COVID-19 First Wave," Bulletin of Applied Economics, Risk Market Journals, vol. 8(2), pages 133-146.
  4. Papapostolou, Nikos C. & Pouliasis, Panos K. & Nomikos, Nikos K. & Kyriakou, Ioannis, 2016. "Shipping investor sentiment and international stock return predictability," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 96(C), pages 81-94.
  5. Davide Pettenuzzo & Francesco Ravazzolo, 2016. "Optimal Portfolio Choice Under Decision‐Based Model Combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1312-1332, November.
  6. Su, Yuandong & Lu, Xinjie & Zeng, Qing & Huang, Dengshi, 2022. "Good air quality and stock market returns," Research in International Business and Finance, Elsevier, vol. 62(C).
  7. Yang, Bingduo & Long, Wei & Yang, Zihui, 2022. "Testing predictability of stock returns under possible bubbles," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 246-260.
  8. Ma, Feng & Wang, Ruoxin & Lu, Xinjie & Wahab, M.I.M., 2021. "A comprehensive look at stock return predictability by oil prices using economic constraint approaches," International Review of Financial Analysis, Elsevier, vol. 78(C).
  9. Faria, Gonçalo & Verona, Fabio, 2020. "The yield curve and the stock market: Mind the long run," Journal of Financial Markets, Elsevier, vol. 50(C).
  10. Chue, Timothy K. & Gul, Ferdinand A. & Mian, G. Mujtaba, 2019. "Aggregate investor sentiment and stock return synchronicity," Journal of Banking & Finance, Elsevier, vol. 108(C).
  11. Hou, Yang & Meng, Jiayin, 2018. "The momentum effect in the Chinese market and its relationship with the simultaneous and the lagged investor sentiment," MPRA Paper 94838, University Library of Munich, Germany.
  12. Konstantinos Metaxoglou & Davide Pettenuzzo & Aaron Smith, 2019. "Option-Implied Equity Premium Predictions via Entropic Tilting," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 17(4), pages 559-586.
  13. 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.
  14. Rangan Gupta & Jacobus Nel & Christian Pierdzioch, 2021. "Investor Confidence and Forecastability of US Stock Market Realized Volatility : Evidence from Machine Learning," Working Papers 202118, University of Pretoria, Department of Economics.
  15. Shi, Qi & Li, Bin, 2022. "Further evidence on financial information and economic activity forecasts in the United States," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  16. Pan, Zhiyuan & Pettenuzzo, Davide & Wang, Yudong, 2020. "Forecasting stock returns: A predictor-constrained approach," Journal of Empirical Finance, Elsevier, vol. 55(C), pages 200-217.
  17. Yuan Li, 2022. "Mood Beta, Sentiment and Stock Returns in China," SAGE Open, , vol. 12(1), pages 21582440221, February.
  18. Chen, Jian & Jiang, Fuwei & Xue, Shuyu & Yao, Jiaquan, 2019. "The world predictive power of U.S. equity market skewness risk," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 210-227.
  19. Wen, Danyan & Liu, Li & Wang, Yudong & Zhang, Yaojie, 2022. "Forecasting crude oil market returns: Enhanced moving average technical indicators," Resources Policy, Elsevier, vol. 76(C).
  20. Bäumer, Marcus, 2020. "What matters to investment professionals in decision making? The role of soft factors in stock selection," EIKV-Schriftenreihe zum Wissens- und Wertemanagement, European Institute for Knowledge & Value Management (EIKV), Luxembourg, volume 44, number 44, September.
  21. Riza Demirer & Konstantinos Gkillas & Christos Kountzakis & Amaryllis Mavragani, 2020. "Risk Appetite and Jumps in Realized Correlation," Mathematics, MDPI, vol. 8(12), pages 1-11, December.
  22. Chen, Yong & Da, Zhi & Huang, Dayong, 2022. "Short selling efficiency," Journal of Financial Economics, Elsevier, vol. 145(2), pages 387-408.
  23. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
    • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
  24. Samuel YM Ze‐To, 2022. "Fundamental index aligned and excess market return predictability," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(3), pages 592-614, April.
  25. Liang, Chao & Xu, Yongan & Wang, Jianqiong & Yang, Mo, 2022. "Whether dimensionality reduction techniques can improve the ability of sentiment proxies to predict stock market returns," International Review of Financial Analysis, Elsevier, vol. 82(C).
  26. Mehmet Balcilar & Matteo Bonato & Riza Demirer & Rangan Gupta, 2016. "The Effect of Investor Sentiment on Gold Market Dynamics," Working Papers 201638, University of Pretoria, Department of Economics.
  27. Liang, Chao & Xia, Zhenglan & Lai, Xiaodong & Wang, Lu, 2022. "Natural gas volatility prediction: Fresh evidence from extreme weather and extended GARCH-MIDAS-ES model," Energy Economics, Elsevier, vol. 116(C).
  28. Li, Jun & Wang, Huijun & Yu, Jianfeng, 2018. "Aggregate Expected Investment Growth and Stock Market Returns," ADBI Working Papers 808, Asian Development Bank Institute.
  29. Seiler, Volker & Fanenbruck, Katharina Maria, 2021. "Acceptance of digital investment solutions: The case of robo advisory in Germany," Research in International Business and Finance, Elsevier, vol. 58(C).
  30. Ma, Feng & Lu, Xinjie & Liu, Jia & Huang, Dengshi, 2022. "Macroeconomic attention and stock market return predictability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
  31. Lin, Hai & Tao, Xinyuan & Wu, Chunchi, 2022. "Forecasting earnings with combination of analyst forecasts," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 133-159.
  32. Wang, Gang-Jin & Xiong, Lu & Zhu, You & Xie, Chi & Foglia, Matteo, 2022. "Multilayer network analysis of investor sentiment and stock returns," Research in International Business and Finance, Elsevier, vol. 62(C).
  33. Guo, Jiaqi & Li, Youwei & Zheng, Min, 2019. "Bottom-up sentiment and return predictability of the market portfolio," Finance Research Letters, Elsevier, vol. 29(C), pages 57-60.
  34. Chen, Zhongdong & Daves, Phillip R., 2018. "The January sentiment effect in the U.S. stock market," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 94-104.
  35. Yao Zheng & Eric Osmer & Liancun Zheng, 2020. "Can mutual funds time investor sentiment?," Review of Quantitative Finance and Accounting, Springer, vol. 54(4), pages 1449-1486, May.
  36. Zachary McGurk & Adam Nowak & Joshua C. Hall, 2020. "Stock returns and investor sentiment: textual analysis and social media," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(3), pages 458-485, July.
  37. Kim Kaivanto & Peng Zhang, 2019. "Popular Music, Sentiment, and Noise Trading," Working Papers 279326509, Lancaster University Management School, Economics Department.
  38. Harri Pönkä, 2018. "Sentiment and sign predictability of stock returns," Economics Bulletin, AccessEcon, vol. 38(3), pages 1676-1684.
  39. Jonathan Fletcher, 2022. "Exploring the diversification benefits of US international equity closed-end funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(3), pages 297-320, September.
  40. Xiaolu Wei & Hongbing Ouyang, 2023. "Forecasting Carbon Price Using Double Shrinkage Methods," IJERPH, MDPI, vol. 20(2), pages 1-20, January.
  41. Hao, Yijun & Su, Hao & Zhu, Xiaoneng, 2020. "Rare disaster concerns and economic fluctuations," Economics Letters, Elsevier, vol. 195(C).
  42. Zhang, Yaojie & Wei, Yu & Zhang, Yi & Jin, Daxiang, 2019. "Forecasting oil price volatility: Forecast combination versus shrinkage method," Energy Economics, Elsevier, vol. 80(C), pages 423-433.
  43. Faria, Gonçalo & Verona, Fabio, 2018. "Forecasting stock market returns by summing the frequency-decomposed parts," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 228-242.
  44. Luo, Jiawen & Demirer, Riza & Gupta, Rangan & Ji, Qiang, 2022. "Forecasting oil and gold volatilities with sentiment indicators under structural breaks," Energy Economics, Elsevier, vol. 105(C).
  45. Lin, Qi, 2021. "The q5 model and its consistency with the intertemporal CAPM," Journal of Banking & Finance, Elsevier, vol. 127(C).
  46. Mönch, Emanuel & Stein, Tobias, 2021. "Equity premium predictability over the business cycle," Discussion Papers 25/2021, Deutsche Bundesbank.
  47. Bissoondoyal-Bheenick, Emawtee & Do, Hung & Hu, Xiaolu & Zhong, Angel, 2022. "Sentiment and stock market connectedness: Evidence from the U.S. – China trade war," International Review of Financial Analysis, Elsevier, vol. 80(C).
  48. Huynh, Toan Luu Duc & Foglia, Matteo & Nasir, Muhammad Ali & Angelini, Eliana, 2021. "Feverish sentiment and global equity markets during the COVID-19 pandemic," Journal of Economic Behavior & Organization, Elsevier, vol. 188(C), pages 1088-1108.
  49. Fang, Tong & Su, Zhi & Yin, Libo, 2020. "Economic fundamentals or investor perceptions? The role of uncertainty in predicting long-term cryptocurrency volatility," International Review of Financial Analysis, Elsevier, vol. 71(C).
  50. repec:zbw:bofrdp:2020_006 is not listed on IDEAS
  51. Shahzad, Syed Jawad Hussain & Kyei, Clement Kweku & Gupta, Rangan & Olson, Eric, 2021. "Investor sentiment and dollar-pound exchange rate returns: Evidence from over a century of data using a cross-quantilogram approach," Finance Research Letters, Elsevier, vol. 38(C).
  52. Yuan, Xianghui & Li, Xiang, 2022. "Delta-hedging demand and intraday momentum: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
  53. Baig, Ahmed & Blau, Benjamin M. & Sabah, Nasim, 2019. "Price clustering and sentiment in bitcoin," Finance Research Letters, Elsevier, vol. 29(C), pages 111-116.
  54. Padma Kadiyala, 2022. "Response of ETF flows and long-run returns to investor sentiment," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(4), pages 489-531, December.
  55. Lin, Qi & Lin, Xi, 2021. "Are the profitability and investment factors valid ICAPM risk factors? Pre-1963 evidence," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  56. Han, Xing & Li, Youwei, 2017. "Can investor sentiment be a momentum time-series predictor? Evidence from China," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 212-239.
  57. Su, Hao & Ying, Chengwei & Zhu, Xiaoneng, 2022. "Disaster risk matters in the bond market," Finance Research Letters, Elsevier, vol. 47(PA).
  58. Paudel, Shishir & Silveri, Sabatino (Dino) & Wu, Mark, 2022. "Investor sentiment and asset prices: Evidence from the ex-day," Journal of Banking & Finance, Elsevier, vol. 139(C).
  59. Tan, Xiaoyu & Zhang, Zili & Zhao, Xuejun & Wang, Chengxiang, 2021. "Investor sentiment and limits of arbitrage: Evidence from Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 577-595.
  60. Chen, Yangyang & Goyal, Abhinav & Veeraraghavan, Madhu & Zolotoy, Leon, 2020. "Terrorist attacks, investor sentiment, and the pricing of initial public offerings," Journal of Corporate Finance, Elsevier, vol. 65(C).
  61. Wang, Jiqian & Guo, Xiaozhu & Tan, Xueping & Chevallier, Julien & Ma, Feng, 2023. "Which exogenous driver is informative in forecasting European carbon volatility: Bond, commodity, stock or uncertainty?," Energy Economics, Elsevier, vol. 117(C).
  62. Çepni, Oğuzhan & Guney, I. Ethem & Gupta, Rangan & Wohar, Mark E., 2020. "The role of an aligned investor sentiment index in predicting bond risk premia of the U.S," Journal of Financial Markets, Elsevier, vol. 51(C).
  63. Yu, Xing & Li, Yanyan & Gong, Xue & Zhang, Nan, 2022. "Evaluating the performance of futures hedging using factors-driven realized volatility," International Review of Financial Analysis, Elsevier, vol. 84(C).
  64. Balcilar, Mehmet & Bonato, Matteo & Demirer, Riza & Gupta, Rangan, 2017. "The effect of investor sentiment on gold market return dynamics: Evidence from a nonparametric causality-in-quantiles approach," Resources Policy, Elsevier, vol. 51(C), pages 77-84.
  65. Ni, Yensen & Wu, Manhwa & Day, Min-Yuh & Huang, Paoyu, 2020. "Do sharp movements in oil prices matter for stock markets?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
  66. Huang, Shuyang & Zeng, Ming, 2022. "Political sentiment and MAX effect," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  67. Qadan, Mahmoud & Jacob, Maram, 2022. "The value premium and investors' appetite for risk," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 194-219.
  68. Han, Liyan & Xu, Yang & Yin, Libo, 2018. "Does investor attention matter? The attention-return relationships in FX markets," Economic Modelling, Elsevier, vol. 68(C), pages 644-660.
  69. Mahmoudi, Nader & Docherty, Paul & Melia, Adrian, 2022. "Firm-level investor sentiment and corporate announcement returns," Journal of Banking & Finance, Elsevier, vol. 144(C).
  70. Gong, Xue & Zhang, Weiguo & Wang, Junbo & Wang, Chao, 2022. "Investor sentiment and stock volatility: New evidence," International Review of Financial Analysis, Elsevier, vol. 80(C).
  71. Amer Demirovic & Ali Kabiri & David Tuckett & Rickard Nyman, 2020. "A common risk factor and the correlation between equity and corporate bond returns," Journal of Asset Management, Palgrave Macmillan, vol. 21(2), pages 119-134, March.
  72. Tao, Ran & Brooks, Chris & Bell, Adrian R., 2020. "When is a MAX not the MAX? How news resolves information uncertainty," Journal of Empirical Finance, Elsevier, vol. 57(C), pages 33-51.
  73. Fletcher, Jonathan, 2021. "International equity U.S. mutual funds and diversification benefits," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 246-257.
  74. Dai, Zhifeng & Kang, Jie & Hu, Yangli, 2021. "Efficient predictability of oil price: The role of number of IPOs and U.S. dollar index," Resources Policy, Elsevier, vol. 74(C).
  75. Wang, Lu & Ma, Feng & Niu, Tianjiao & Liang, Chao, 2021. "The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market," Energy Economics, Elsevier, vol. 99(C).
  76. Mengxi He & Xianfeng Hao & Yaojie Zhang & Fanyi Meng, 2021. "Forecasting stock return volatility using a robust regression model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1463-1478, December.
  77. Wang, Wenzhao & Duxbury, Darren, 2021. "Institutional investor sentiment and the mean-variance relationship: Global evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 415-441.
  78. Jie Ren & Hang Dong & Balaji Padmanabhan & Jeffrey V. Nickerson, 2021. "How does social media sentiment impact mass media sentiment? A study of news in the financial markets," Journal of the Association for Information Science & Technology, Association for Information Science & Technology, vol. 72(9), pages 1183-1197, September.
  79. Oleg Rytchkov & Xun Zhong, 2020. "Information Aggregation and P-Hacking," Management Science, INFORMS, vol. 66(4), pages 1605-1626, April.
  80. Pedro Manuel Nogueira Reis & Carlos Pinho, 2021. "A Reappraisal of the Causal Relationship between Sentiment Proxies and Stock Returns," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 22(4), pages 420-442, October.
  81. Vitor Azevedo & Christoph Kaserer & Lucila M. S. Campos, 2021. "Investor sentiment and the time-varying sustainability premium," Journal of Asset Management, Palgrave Macmillan, vol. 22(7), pages 600-621, December.
  82. Mehmet Balcilar & Rangan Gupta & Clement Kyei, 2018. "Predicting Stock Returns And Volatility With Investor Sentiment Indices: A Reconsideration Using A Nonparametric Causality†In†Quantiles Test," Bulletin of Economic Research, Wiley Blackwell, vol. 70(1), pages 74-87, January.
  83. Smith, Simon C., 2021. "International stock return predictability," International Review of Financial Analysis, Elsevier, vol. 78(C).
  84. Park, Yang-Ho, 2022. "Informed trading in foreign exchange futures: Payroll news timing," Journal of Banking & Finance, Elsevier, vol. 135(C).
  85. Qadan, Mahmoud, 2019. "Risk appetite, idiosyncratic volatility and expected returns," International Review of Financial Analysis, Elsevier, vol. 65(C).
  86. Chen, Rongda & Wei, Bo & Jin, Chenglu & Liu, Jia, 2021. "Returns and volatilities of energy futures markets: Roles of speculative and hedging sentiments," International Review of Financial Analysis, Elsevier, vol. 76(C).
  87. Bollerslev, Tim & Todorov, Viktor & Xu, Lai, 2015. "Tail risk premia and return predictability," Journal of Financial Economics, Elsevier, vol. 118(1), pages 113-134.
  88. Zhifeng Dai & Tingyu Li & Mi Yang, 2022. "Forecasting stock return volatility: The role of shrinkage approaches in a data‐rich environment," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(5), pages 980-996, August.
  89. Wang, Jiqian & Ma, Feng & Bouri, Elie & Zhong, Juandan, 2022. "Volatility of clean energy and natural gas, uncertainty indices, and global economic conditions," Energy Economics, Elsevier, vol. 108(C).
  90. Chen, Yi-Wen & Chou, Robin K. & Lin, Chu-Bin, 2019. "Investor sentiment, SEO market timing, and stock price performance," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 28-43.
  91. St¨¦phane Chr¨¦tien & Manel Kammoun, 2019. "Mutual Fund Styles and Clientele-Specific Performance Evaluation," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(12), pages 1-89, December.
  92. Liu, Qingbai & Wang, Chuanjie & Zhang, Ping & Zheng, Kaixin, 2021. "Detecting stock market manipulation via machine learning: Evidence from China Securities Regulatory Commission punishment cases," International Review of Financial Analysis, Elsevier, vol. 78(C).
  93. Gaoshan Wang & Guangjin Yu & Xiaohong Shen, 2020. "The Effect of Online Investor Sentiment on Stock Movements: An LSTM Approach," Complexity, Hindawi, vol. 2020, pages 1-11, December.
  94. KhasadYahu ZarBabal & Jocelyn Evans, 2018. "Does wall street affect main street? examining potential spillovers from investor stock market sentiment to personal consumption expenditures," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(2), pages 293-314, April.
  95. Weiguo Zhang & Xue Gong & Chao Wang & Xin Ye, 2021. "Predicting stock market volatility based on textual sentiment: A nonlinear analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1479-1500, December.
  96. Oguzhan Cepni & Rangan Gupta & Yigit Onay, 2022. "The role of investor sentiment in forecasting housing returns in China: A machine learning approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(8), pages 1725-1740, December.
  97. Zhang, Zhikai & He, Mengxi & Zhang, Yaojie & Wang, Yudong, 2022. "Geopolitical risk trends and crude oil price predictability," Energy, Elsevier, vol. 258(C).
  98. Han, Yufeng & Huang, Dashan & Huang, Dayong & Zhou, Guofu, 2022. "Expected return, volume, and mispricing," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1295-1315.
  99. Chen, Rongda & Xu, Guorui & Xu, Feng & Jin, Chenglu & Yu, Jingjing, 2022. "A clientele effect in online lending markets: Evidence from the comovement between investor sentiment and online lending rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
  100. Konstantinos Gkillas & Rangan Gupta & Chi Keung Marco Lau & Muhammad Tahir Suleman, 2020. "Jumps beyond the realms of cricket: India's performance in One Day Internationals and stock market movements," Journal of Applied Statistics, Taylor & Francis Journals, vol. 47(6), pages 1109-1127, April.
  101. Yaojie Zhang & Feng Ma & Chao Liang & Yi Zhang, 2021. "Good variance, bad variance, and stock return predictability," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4410-4423, July.
  102. Wu, Qinin & Lu, Jing, 2020. "Air pollution, individual investors, and stock pricing in China," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 267-287.
  103. Masud Alam, 2021. "Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return," Papers 2107.10455, arXiv.org.
  104. Gonçalo Faria & Fabio Verona, 2016. "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers) 06, Católica Porto Business School, Universidade Católica Portuguesa.
  105. Xu, Hai-Chuan & Zhou, Wei-Xing, 2018. "A weekly sentiment index and the cross-section of stock returns," Finance Research Letters, Elsevier, vol. 27(C), pages 135-139.
  106. Cedric Mbanga & Ali F. Darrat & Jung Chul Park, 2019. "Investor sentiment and aggregate stock returns: the role of investor attention," Review of Quantitative Finance and Accounting, Springer, vol. 53(2), pages 397-428, August.
  107. Sharma, Susan Sunila & Narayan, Paresh Kumar, 2022. "Technology shocks and stock returns: A long-term perspective," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 67-83.
  108. Zeng, Qing & Lu, Xinjie & Dong, Dayong & Li, Pan, 2022. "Category-specific EPU indices, macroeconomic variables and stock market return predictability," International Review of Financial Analysis, Elsevier, vol. 84(C).
  109. Gregory, Richard Paul, 2021. "What determines Manager and Investor Sentiment?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
  110. Kim, Karam & Ryu, Doojin, 2022. "Sentiment changes and the Monday effect," Finance Research Letters, Elsevier, vol. 47(PB).
  111. Guo, Yangli & He, Feng & Liang, Chao & Ma, Feng, 2022. "Oil price volatility predictability: New evidence from a scaled PCA approach," Energy Economics, Elsevier, vol. 105(C).
  112. Ruan, Qingsong & Wang, Zilin & Zhou, Yaping & Lv, Dayong, 2020. "A new investor sentiment indicator (ISI) based on artificial intelligence: A powerful return predictor in China," Economic Modelling, Elsevier, vol. 88(C), pages 47-58.
  113. Zhang, Yaojie & Ma, Feng & Wei, Yu, 2019. "Out-of-sample prediction of the oil futures market volatility: A comparison of new and traditional combination approaches," Energy Economics, Elsevier, vol. 81(C), pages 1109-1120.
  114. Gonçalo Faria & Fabio Verona, 2021. "Time-frequency forecast of the equity premium," Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2119-2135, December.
  115. Gonçalo Faria & Fabio Verona, 2016. "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers) 06, Católica Porto Business School, Universidade Católica Portuguesa.
  116. Zhang, Yaojie & Ma, Feng & Wang, Yudong, 2019. "Forecasting crude oil prices with a large set of predictors: Can LASSO select powerful predictors?," Journal of Empirical Finance, Elsevier, vol. 54(C), pages 97-117.
  117. Barroso, Pedro & Detzel, Andrew, 2021. "Do limits to arbitrage explain the benefits of volatility-managed portfolios?," Journal of Financial Economics, Elsevier, vol. 140(3), pages 744-767.
  118. He, Mengxi & Zhang, Yaojie & Wen, Danyan & Wang, Yudong, 2021. "Forecasting crude oil prices: A scaled PCA approach," Energy Economics, Elsevier, vol. 97(C).
  119. João F. Caldeira & Rangan Gupta & Hudson S. Torrent, 2020. "Forecasting U.S. Aggregate Stock Market Excess Return: Do Functional Data Analysis Add Economic Value?," Mathematics, MDPI, vol. 8(11), pages 1-16, November.
  120. Chen, Rongda & Bao, Weiwei & Jin, Chenglu, 2021. "Investor sentiment and predictability for volatility on energy futures Markets: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 112-129.
  121. Guo, Haifeng & Hung, Chi-Hsiou D. & Kontonikas, Alexandros, 2022. "The Fed and the stock market: A tale of sentiment states," Journal of International Money and Finance, Elsevier, vol. 128(C).
  122. Chen, Jian & Jiang, Fuwei & Li, Hongyi & Xu, Weidong, 2016. "Chinese stock market volatility and the role of U.S. economic variables," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 70-83.
  123. Zhu, Zhaobo & Ji, Qiang & Sun, Licheng & Zhai, Pengxiang, 2020. "Oil price shocks, investor sentiment, and asset pricing anomalies in the oil and gas industry," International Review of Financial Analysis, Elsevier, vol. 70(C).
  124. Yongan Xu & Jianqiong Wang & Zhonglu Chen & Chao Liang, 2023. "Sentiment indices and stock returns: Evidence from China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 1063-1080, January.
  125. Seok, Sang Ik & Cho, Hoon & Ryu, Doojin, 2021. "Stock Market’s responses to intraday investor sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  126. Nizar Raissi & Sahbi Missaoui, 2015. "Role of investor sentiment in financial markets: an explanation by behavioural finance approach," International Journal of Accounting and Finance, Inderscience Enterprises Ltd, vol. 5(4), pages 362-401.
  127. Cao, Charles & Simin, Timothy & Xiao, Han, 2020. "Predicting the equity premium with the implied volatility spread," Journal of Financial Markets, Elsevier, vol. 51(C).
  128. Cao, Charles & Simin, Timothy & Xiao, Han, 2019. "Predicting the equity premium with the implied volatility spread," MPRA Paper 103651, University Library of Munich, Germany.
  129. Dai, Zhifeng & Zhu, Huan, 2020. "Stock return predictability from a mixed model perspective," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
  130. Stefano Cassella & Huseyin Gulen, 2018. "Extrapolation Bias and the Predictability of Stock Returns by Price-Scaled Variables," Review of Financial Studies, Society for Financial Studies, vol. 31(11), pages 4345-4397.
  131. repec:zbw:bofrdp:2018_007 is not listed on IDEAS
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