Reversal Evidence from Investor Sentiment in International Stock Markets

Ahn, K; Hambusch, G

Reversal Evidence from Investor Sentiment in International Stock Markets

Ahn, K Hambusch, G

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Publisher:: Wiley
Publication Type:: Journal Article
Citation:: International Review of Finance, 2024, 24, (3), pp. 415-448
Issue Date:: 2024

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Field	Value	Language
dc.contributor.author	Ahn, K
dc.contributor.author	Hambusch, G https://orcid.org/0000-0003-4289-4279
dc.date.accessioned	2025-03-26T06:12:34Z
dc.date.available	2025-03-26T06:12:34Z
dc.date.issued	2024
dc.identifier.citation	International Review of Finance, 2024, 24, (3), pp. 415-448
dc.identifier.issn	1369-412X
dc.identifier.issn	1468-2443
dc.identifier.uri	http://hdl.handle.net/10453/186225
dc.description.abstract	This research investigates the effect of sentiment on the time-series and cross-section of mean, variance and correlation of asset returns to examine how investor sentiment creates predictable variations in financial markets. Based on the method proposed by Baker and Wurgler (2007, Investor sentiment in the stock market, Journal of Economic Perspectives 21, 129-152), we build composite sentiment indexes with a focus on international markets. Our time-series results show that optimistic (pessimistic) sentiment leads to overpricing (underpricing) and that variance and correlation of asset returns increase when investors are pessimistic. Our cross- section results suggest that these effects tend to become more pronounced for stocks with more exposure to sentiment or the market.
dc.language	English
dc.publisher	Wiley
dc.relation.ispartof	International Review of Finance
dc.relation.isbasedon	10.1111/irfi.12448
dc.rights	info:eu-repo/semantics/closedAccess
dc.subject	1501 Accounting, Auditing and Accountability, 1502 Banking, Finance and Investment
dc.subject.classification	3501 Accounting, auditing and accountability
dc.subject.classification	3502 Banking, finance and investment
dc.subject.classification	3801 Applied economics
dc.title	Reversal Evidence from Investor Sentiment in International Stock Markets
dc.type	Journal Article
utslib.citation.volume	24
utslib.for	1501 Accounting, Auditing and Accountability
utslib.for	1502 Banking, Finance and Investment
pubs.organisational-group	University of Technology Sydney
pubs.organisational-group	University of Technology Sydney/Business School
pubs.organisational-group	University of Technology Sydney/Business School/Finance Discipline
utslib.copyright.status	closed_access	*
pubs.consider-herdc	true
dc.date.updated	2025-03-26T06:12:27Z
pubs.issue	3
pubs.publication-status	Published
pubs.volume	24
utslib.citation.issue	3

Abstract:

This research investigates the effect of sentiment on the time-series and cross-section of mean, variance and correlation of asset returns to examine how investor sentiment creates predictable variations in financial markets. Based on the method proposed by Baker and Wurgler (2007, Investor sentiment in the stock market, Journal of Economic Perspectives 21, 129-152), we build composite sentiment indexes with a focus on international markets. Our time-series results show that optimistic (pessimistic) sentiment leads to overpricing (underpricing) and that variance and correlation of asset returns increase when investors are pessimistic. Our cross- section results suggest that these effects tend to become more pronounced for stocks with more exposure to sentiment or the market.

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http://hdl.handle.net/10453/186225