Global, Local, and Contagious Investor Sentiment
Abstract
We construct investor sentiment indices for six major stock markets and decompose them into one global and six local indices. In a validation test, we find that relative sentiment is correlated with the relative prices of dual-listed companies. Global sentiment is a contrarian predictor of country-level returns. Both global and local sentiment are contrarian predictors of the time series of cross-sectional returns within markets: When sentiment...
Paper Details
Title
Global, Local, and Contagious Investor Sentiment
Published Date
Jan 1, 2009
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