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دسته بندی:
مدیریت بازرگانی - Business Management
سال انتشار:
2016
عنوان انگلیسی مقاله:
The information content of the sentiment index
ترجمه فارسی عنوان مقاله:
محتوای اطلاعات شاخص احساسات
منبع:
Sciencedirect - Elsevier - JOURNAL OF BANKING FINANCE, 62 (2016) 164-179. doi:10.1016/j.jbankfin.2015.10.001
نویسنده:
Steven E. Sibley
چکیده انگلیسی:
The widely-used Baker and Wurgler (2006) sentiment index is strongly correlated with business cycle
variables, especially the short interest rate and Lee (2011) liquidity risk factor. The power of the sentiment index to predict cross-sectional stock returns is mainly driven by its information content related
to these business cycle variables. About 63% percent of the total variation in the investor sentiment index
can be explained by well-known, contemporaneous risk/business cycle variables. We decompose the
widely used investor sentiment index into two components: one related to standard risk/business cycle
variables and the other unrelated to those variables. We show that the power of the sentiment index to
predict cross-sectional stock returns is mainly driven by the risk/business cycle component, while the
residual component has little significance in predicting cross-sectional stock returns.
Keywords: Investor sentiment index | Return predictability | Business cycle
قیمت: رایگان
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