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A Reappraisal of the Causal Relationship between Sentiment Proxies and Stock Returns

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dc.contributor.authorReis, Pedro
dc.contributor.authorPinho, Carlos
dc.date.accessioned2020-07-22T08:50:45Z
dc.date.available2020-07-22T08:50:45Z
dc.date.issued2020
dc.description.abstractThis article investigates the suitability of 13 investor sentiment proxies as causal explanations for monthly stock returns of the European S&P 350 constituents over 45 years. We analyzed a sample of 362 companies covering 16 European countries. Analyses incorporate multiple categories of investor sentiment arising from market or survey data, as well as technical analysis, risk measures, company fundamentals and macroeconomic variables. In addition, we provide an extended review of sentiment proxy measures based on market data. This work applied general model of moments (GMM) to dynamic panel data to estimate short-run and long-run influences along with Granger causality. Our findings demonstrate the role of several investor sentiment measures in predicting stock returns even after controlling for variables such as fundamentals, macroeconomic, market and technical analysis. Together, sentiment measures of implied volatility in stock options, such as VIX and VSTOXX, put and call ratios, gold, government bond yield spreads, mispricing along with economic and confidence sentiment indicators can significantly predict how irrational behaviors of investors can determine stock returns. Co-movements between markets provide further evidence of contagion. Considering the unobservable nature of sentiment, we provide a set of sentiment proxies, and reveal new measures such as gold, government yields spread and a mispricing ratio, that serve to predict European market returns. Furthermore, to our knowledge this study is one of the few studies to apply time dynamic panel data estimation to a large set of sentiment proxies and a set of complete control variables in a long-term framework.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationReis, P. M. N., & Pinho, C. (2020). A Reappraisal of the Causal Relationship between Sentiment Proxies and Stock Returns. Journal of Behavioral Finance, 1-23.pt_PT
dc.identifier.doi10.1080/15427560.2020.1792910pt_PT
dc.identifier.urihttp://hdl.handle.net/10400.19/6328
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherTaylor & Francispt_PT
dc.relationFCT UIDB/05583/2020pt_PT
dc.relation.publisherversionhttps://www.tandfonline.com/eprint/RANVFQNZ2ZWCCYBGJVI2/full?target=10.1080/15427560.2020.1792910pt_PT
dc.subjectInvestor sentimentpt_PT
dc.subjectReturn causalitypt_PT
dc.subjectStock returnspt_PT
dc.subjectBehaviorpt_PT
dc.subjectOptimismpt_PT
dc.subjectPessimismpt_PT
dc.titleA Reappraisal of the Causal Relationship between Sentiment Proxies and Stock Returnspt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.endPage23pt_PT
oaire.citation.startPage1pt_PT
oaire.citation.titleJournal of Behavioral Financept_PT
person.familyNameReis
person.givenNamePedro
person.identifier.ciencia-idB71F-60A3-3FB5
person.identifier.orcid0000-0003-1301-6645
person.identifier.ridN-9211-2018
person.identifier.scopus-author-id56747454000
rcaap.rightsrestrictedAccesspt_PT
rcaap.typearticlept_PT
relation.isAuthorOfPublication84bd8fcc-7ce1-49f7-9669-9ccf9b9ce2f0
relation.isAuthorOfPublication.latestForDiscovery84bd8fcc-7ce1-49f7-9669-9ccf9b9ce2f0

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