Forecasting Returns with Fundamentals-Removed Investor Sentiment

Forecasting Returns with Fundamentals-Removed Investor Sentiment

The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor sen...

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Bibliographic Details
Main Author: Adam Stivers
Format: Article
Language:English
Published: MDPI AG 2015-07-01
Series:International Journal of Financial Studies
Subjects:
investor sentiment
return predictability
stock market
consumer confidence
Online Access:http://www.mdpi.com/2227-7072/3/3/319

Internet

http://www.mdpi.com/2227-7072/3/3/319

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