The Impact of Returns on Investor Sentiment

2012 ◽  
Author(s):  
Chandler Lutz
Keyword(s):  
Investor Sentiment ◽  
The Impact

scholarly journals Light a lamp and look at the stock market

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Radeef Chundakkadan
Keyword(s):  
Stock Market ◽  
Financial Distress ◽  
Investor Sentiment ◽  
Downside Risk ◽  
Bond Yields ◽  
Risky Assets ◽  
Market Participants ◽  
Market Return ◽  
The Impact

AbstractIn this study, we investigate the impact of the light-a-lamp event that occurred in India during the COVID-19 lockdown. This event happened across the country, and millions of people participated in it. We link this event to the stock market through investor sentiment and misattribution bias. We find a 9% hike in the market return on the post-event day. The effect is heterogeneous in terms of beta, downside risk, volatility, and financial distress. We also find an increase (decrease) in long-term bond yields (price), which together suggests that market participants demanded risky assets in the post-event day.

scholarly journals The Impact of Investor Sentiment on the German Stock Market

2010 ◽  
Author(s):  
Philipp Finter ◽  
Alexandra Niessen-Ruenzi ◽  
Stefan Ruenzi
Keyword(s):  
Stock Market ◽  
Investor Sentiment ◽  
German Stock ◽  
The Impact ◽  
German Stock Market

scholarly journals The Impact of Investor Sentiment on IPO Underpricing

2021 ◽  
Author(s):  
Beiyi Chen ◽  
Jingyi Liu ◽  
Borui Zhu
Keyword(s):  
Investor Sentiment ◽  
Ipo Underpricing ◽  
The Impact

scholarly journals Capital Market Response to COVID-19 Pandemic – A Systematic Review on Stock Volatility and Performance

2021 ◽  
pp. 27-49
Author(s):  
Janga Bahadur Hamal ◽  
Rishi Raj Gautam
Keyword(s):  
Stock Market ◽  
Investor Sentiment ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Stock Volatility ◽  
Government Response ◽  
Stock Market Performance ◽  
Policy Measures ◽  
And Performance ◽  
The Impact

This paper aims to identify the impact of the COVID-19 pandemic on stock market volatility and market return as well as the impact of government response to the COVID-19 pandemic on stock market performance. To analyze the same, the paper has adopted Systematic Literature Review (SLR) approach and conducted a review of 40 journal articles published between between2020 to mid-2021. The paper identified that the short-term impact of the COVID-19 outbreak and government policy measures had a significant and adverse impact on stock market volatility, return and overall performance. In the longer term, the stock markets slowly started to stabilize and revive. This effect on the stock market was also attributed to investor sentiment and thus, in the later stages, targeted government response had a positive effect on boosting investor confidence towards the market.

scholarly journals The Impact of Investor Sentiment on Return of Different Industries in Pakistan

2017 ◽  
pp. 1-23
Author(s):  
Sumayya Chughtai Et al.,
Keyword(s):  
Stock Returns ◽  
Principle Component Analysis ◽  
Negative Relationship ◽  
Investor Sentiment ◽  
Differential Impact ◽  
Future Period ◽  
Market Sentiment ◽  
Available Information ◽  
The Impact ◽  
The Relationship

We classify stocks in different industries to measure industrial sentiment based on principle component analysis in order to examine whether investor sentiment exerts a differential impact on stock returns across different industries. After having constructed industry-level sentiment indices we construct a composite investor sentiment index. Our results suggest that investor sentiment negatively affects current as well as future stock returns in Pakistan over the examined period. However, we find that the influence of investor sentiment varies substantially across different industries. We also find that the market sentiment index has a negative relationship with both current and future stock returns. We also show that the direction of the relationship between return and sentiment remains same for the current and future period. This indicates that investors overreact to the available information and mispricing exists for a prolonged time. Our results confirm that sentiment driven mispricing persists for upcoming time and stock markets are not fully efficient to adjust instantaneously.

Categorizing sentiment and its impact on REIT returns

2015 ◽  
Vol 41 (9) ◽  
pp. 958-973 ◽  
Author(s):  
Daniel Huerta ◽  
Dave O. Jackson ◽  
Thanh Ngo
Keyword(s):  
Investor Sentiment ◽  
Institutional Investor ◽  
Individual Investors ◽  
Individual Investor ◽  
Content Type ◽  
Portfolio Rebalancing ◽  
Multiple Sample ◽  
Security Pricing ◽  
And Performance ◽  
The Impact

Purpose – The purpose of this paper is to reexamine the impact of investor sentiment on real estate investment trust (REIT) returns using direct, survey-based measures of sentiment to categorize sentiment from institutional and individual investors. Design/methodology/approach – The authors provide a framework in which sentiment is classified into individual and institutional investor sentiment under the assumption that investors, depending on sophistication, react differently to the same set of information and will influence REIT prices differently. The authors employ a methodology that uses panel regression analyses and divides the sample of REITs into size and performance portfolios. Findings – The regression results suggest that institutional investor sentiment is positively and significantly related to REIT returns contemporaneously for multiple sample specifications. These results are consistent with high levels of institutional ownership in REITs. Results also suggest that individual investor sentiment only influences small capitalization and low-α portfolios. Originality/value – The findings provide more evidence on the influence of investor sentiment on security pricing even for highly regulated sectors such as the REIT industry. Investors may use changes in sentiment as signals for portfolio rebalancing and capital allocations.

scholarly journals Sensitivity of economic policy uncertainty to investor sentiment

2019 ◽  
Vol 36 (2) ◽  
pp. 114-129 ◽  
Author(s):  
Mobeen Ur Rehman ◽  
Nicholas Apergis
Keyword(s):  
Economic Policy ◽  
Investor Sentiment ◽  
Policy Uncertainty ◽  
Momentum Effect ◽  
Control Variables ◽  
Content Type ◽  
Economic Policy Uncertainty ◽  
Investor Sentiments ◽  
International Investors ◽  
The Impact

Purpose This paper aims to explore the impact of investor sentiments on economic policy uncertainty (EPU). The analysis also considers the momentum effect, stock market returns volatility and equity pricing inefficiencies across markets, which, to the best of the authors’ knowledge, has not been addressed in the literature. The role of these control variables has collectively been considered to have important behavioral implications for international investors Design/methodology/approach Quantile regressions are used for estimation purpose, as it provides robust and more efficient estimates rather than those coming from the traditional regression model. Findings The momentum effect is negative and significant only at higher quantiles, while oil prices are positive and significant across all quantiles. The exchange rate exerts a negative and significant effect on EPU, whereas equity price volatility (i.e. investor sentiment) exerts a negative and significant impact on EPU in most of the quantiles. Research limitations/implications The results have important implications for international investors and policymakers, especially in terms of the breakdown of economic policy uncertainty across different sample markets. The breakdown of complete sample period into sub-samples acts as a robust analysis and documents the similarity of the results for the Asian and developed markets cases, but not in the case of the European markets. Practical implications The findings imply the importance of financial stability that impacts the accumulation of systemic risks and adds smoothness to the financial cycle in particular geographical areas. Originality/value The contribution of this paper is threefold. First, existing literature highlights and empirically tests the impact of economic policy uncertainty on different market, macro-economic and global control variables. The analysis, however, performs it in the reverse order, i.e. analyzing the impact of the momentum effect (investor sentiment variables), equity market inefficiencies and volatility (market variables) and exchange rates and Brent oil (control variables). Second, to check the sensitivity of economic policy uncertainty, the analysis analyzes a wide range of markets, segregated as emerging, developed and European regions over the sample period to generate region-wise implications. Finally, the analysis explores the relationship of aforementioned variables with economic policy uncertainty keeping in view the non-linear structure and prior evidence and investor sentiments and economic policy uncertainty in the regression model.

The long run performance of secondary equity offerings on the Johannesburg Stock Exchange

2018 ◽  
Vol 13 (5) ◽  
pp. 1211-1232
Author(s):  
Jesse Alves da Cunha ◽  
Yudhvir Seetharam
Keyword(s):  
Stock Exchange ◽  
Operating Performance ◽  
Investor Sentiment ◽  
Seasoned Equity Offerings ◽  
Equity Offerings ◽  
Content Type ◽  
Market Participants ◽  
Johannesburg Stock Exchange ◽  
Long Run ◽  
The Impact

Purpose Opinions have been divided on whether there is a rational explanation to the reason behind seasoned equity offerings (SEOs) or whether the explanation lies within the behavioural intricacies attributed to stock market participants. The paper aims to discuss these issues. Design/methodology/approach This study investigates the long-run performance of firms conducting SEOs on the Johannesburg Stock Exchange (JSE) over the period of 1998–2015, by examining the return performance and operating performance of firms, along with the impact of investor sentiment on these variables. Findings The results of this study are inconsistent with the existing literature, which argues that the long-run performance of issuing firms signalled an initial underreaction to SEOs buoyed by over-optimistic investors. Research limitations/implications Instead, the long-run performance of issuing firms is adequately explained by the rational models centred on the risk-return framework, implying that investors are reacting swiftly to SEOs in an unbiased fashion. Originality/value Investor sentiment does not materially influence the long-run share performance or operating performance of issuing firms, casting doubt on the ability of the market timing theory to explain the long-run performance of SEOs. The authors thus find that SEO performance cannot be explained by behavioural-based reasoning, in contrast to some asset pricing studies on the JSE which indicate the role of sentiment in explaining returns.

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