Investor sentiment effect in stock markets: Stock characteristics or country-specific factors?
نویسندگان
چکیده
Article history: Received 22 September 2011 Received in revised form 28 January 2013 Accepted 2 February 2013 Available online 9 February 2013 This paper analyzes the investor sentiment effect in four key European stock markets: France, Germany, Spain and the UK. The findings show that sentiment has a significant influence on returns, varying in intensity across markets. The variation appears to involve both stock characteristics and cross-country cultural or institutional differences. The results also show sensitivity to the choice of sentiment proxy, suggesting the need for further investigation. © 2013 Elsevier Inc. All rights reserved. JEL classification: G10 G14
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