A dynamic factor model applied to investor sentiment in the European context
This paper proposes an Investor Sentiment Index for the European market and tests its predictability power over returns and volatility. The constructed Investor Sentiment Index for Europe draws upon three well-established and two recent individual sentiment proxies through a novel dynamic factor mod...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
LLC "CPC "Business Perspectives"
2021-03-01
|
| Series: | Investment Management & Financial Innovations |
| Subjects: | |
| Online Access: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/14819/IMFI_2021_01_Reis.pdf |