The relationship between market sentiment index and stock rates of return: a panel data analysis
Author:
Affiliation:
1. Fundação Getulio Vargas, Brazil
2. Fundação Escola de Comércio Álvares Penteado, Brazil
Publisher
FapUNIFESP (SciELO)
Subject
Strategy and Management
Link
http://www.scielo.br/pdf/bar/v9n2/a05v9n2.pdf
Reference37 articles.
1. Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations;Arellano M;The Review of Economic Studies,1991
2. Investor sentiment and the cross-section of stock returns;Baker M. P;The Journal of Finance,2006
3. Investor sentiment in the stock market;Baker M. P;Journal of Economic Perspectives,2007
4. Measuring investor sentiment in equity markets;Bandopadhyaya A;Journal of Asset Management,2006
5. The relationship between return and market value of common stocks;Banz R. W.;Journal of Financial Economics,1981
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