Is investor sentiment contagious? International sentiment and UK equity returns

Volume: 5, Pages: 46 - 59
Published: Mar 1, 2015
Abstract
This paper contributes to a growing body of literature studying investor sentiment. Separate sentiment measures for UK investors and UK institutional investors are constructed from commonly cited sentiment indicators using the first principle component method. We then examine if the sentiment measures can help predict UK equity returns, distinguishing between “turbulent” and “tranquil” periods in the financial markets. We find that sentiment...
Paper Details
Title
Is investor sentiment contagious? International sentiment and UK equity returns
Published Date
Mar 1, 2015
Volume
5
Pages
46 - 59
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