Investor Attention and Stock Market Activities: New Evidence from Panel Data
نویسندگان
چکیده
منابع مشابه
Investor sentiment and its nonlinear effect on stock returns¬タヤNew evidence from the Chinese stock market based on panel quantile regression model
a r t i c l e i n f o Keywords: Investor sentiment Stock returns Chinese A-share stock market Firm characteristics Penalized panel quantile regression model This paper employs the panel quantile regression model to study the nonlinear effect of investor sentiment on monthly stock returns in the Chinese A-share stock market. The findings show that the influence of investor sentiment is significa...
متن کاملPetrochemical Products Market and Stock Market Returns: Empirical Evidence from Tehran Stock Exchange
While the relationship between stock market return and oil price is of great interest to researchers, previous studies do not investigate stock market return with petrochemical products market. In this paper, we analyzed the relationship between prices of main petrochemical products and stock returns of petrochemical companies in Tehran stock exchange. Using a panel data model and GLS estimatio...
متن کاملInvestor Flows and Stock Market Returns
This study is the first to simultaneously analyze the relation between aggregate stock market returns and cash flows of the various investor groups that constitute the entire stock market in the United States. We examine the relation between investor flows and stock market returns over a long time period from 1952 to 2004, and also examine the relation between investor flows and longer-term sto...
متن کاملInvestor demand for IPOs and aftermarket performance: Evidence from the Hong Kong stock market
In this study, we examine the relation between pre-offering demand and aftermarket performance of IPO firms in the Hong Kong stock market. We find that IPOs with high investor demand realize large positive initial returns but negative long-run excess returns, while IPOs with low investor demand realize negative initial returns but positive long-run excess returns. This result suggests that (1) ...
متن کاملPredicting Stock Market Returns and Volatility with Investor Sentiment: Evidence from Eight Developed Countries
We test the predictive ability of investor sentiment on the return and volatility at the aggregate market level in the U.S., four largest European countries and three Asia-Pacific countries. We find that in the U.S., France and Italy periods of high consumer confidence levels are followed by low market returns. In Japan both the level and the change in consumer confidence boost the market retur...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Financial Studies
سال: 2019
ISSN: 2227-7072
DOI: 10.3390/ijfs7020030