Forecasting Returns with Fundamentals-Removed Investor Sentiment

International Journal of Financial Studies

Adam Stivers¹ 

[1] DeGroote School of Business, McMaster University, Hamilton, ON L8S 4M4, Canada; E-Mail

关键词: investor sentiment;    return predictability;    stock market;    consumer confidence;   

DOI  :  10.3390/ijfs3030319

来源: mdpi

【 摘 要 】

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 sentiment that may better capture irrational sentiment. This new index predicts returns better than the original Baker and Wurgler index as well as the alternative Baker and Wurgler sentiment index.

【 授权许可】

CC BY   
© 2015 by the author; licensee MDPI, Basel, Switzerland.