Monthly data used and described in Cheema, Man and Szulczyk, “Does Investor Sentiment Predict the Near-term Returns of the Chinese Stock Market?" International Review of Finance, forthcoming, 201
This study replicates and extends Baker and Wurgler’s (2006) analysis of investor sentiment’s impact on stock returns. We confirm their findings by showing the significant cross-sectional effect of se
We find evidence that is consistent with the hypothesis that daily mutual fund flows may be instruments for investor sentiment about the stock market. We use this finding to construct a new index of i
Abstract of associated article: Using a binomial probability distribution model this paper creates an endurance index of oil service investor sentiment. The index reflects the probability of the high
