The Role of Momentum, Sentiment, and Economic Fundamentals in Forecasting Bear Stock Market-Reference-Cited by-同舟云学术

The Role of Momentum, Sentiment, and Economic Fundamentals in Forecasting Bear Stock Market

Published:2016-01-26 Issue:6 Volume:35 Page:504-527
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:J. Forecast.

Author:

Chen Yi-ting¹,Vincent Kendro²

Affiliation:

1. Institute of Economics; Academia Sinica, Taipei Taiwan

2. Department of International Business; National Taiwan University; Taipei Taiwan

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modelling and Simulation

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/for.2392/fullpdf

Reference40 articles.

1. Heteroskedasticity and autocorrelation consistent covariance matrix estimation;Andrews;Econometrica,1991

2. The equity share in new issues and aggregate stock returns;Baker;Journal of Finance,2000

3. Investor sentiment in the stock market;Baker;Journal of Economic Perspectives,2007

4. A model of investor sentiment;Barberis;Journal of Financial Economics,1998

5. Simple technical trading rules and the stochastic properties of stock returns;Brock;Journal of Finance,1992

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Forecasting realized volatility with wavelet decomposition;Journal of Empirical Finance;2023-12

2. Sticky Stock Market Analysts;Journal of Risk and Financial Management;2021-12-09

3. Technical Indicators and Realized Volatility: What is the Source of Predictability?;SSRN Electronic Journal;2020

4. The quality of governance and momentum profits: International evidence;The British Accounting Review;2019-09

5. Econometric testing on linear and nonlinear dynamic relation between stock prices and macroeconomy in China;Physica A: Statistical Mechanics and its Applications;2018-03