Next Article in Journal
Determinants of the Government Bond Yield in Spain: A Loanable Funds Model
Previous Article in Journal
Large-Scale Empirical Tests of the Markov Tree Model
Article Menu

Export Article

Open AccessArticle
Int. J. Financial Stud. 2015, 3(3), 319-341; doi:10.3390/ijfs3030319

Forecasting Returns with Fundamentals-Removed Investor Sentiment

DeGroote School of Business, McMaster University, Hamilton, ON L8S 4M4, Canada
Academic Editor: Nicholas Apergis
Received: 23 May 2015 / Revised: 9 July 2015 / Accepted: 13 July 2015 / Published: 27 July 2015
View Full-Text   |   Download PDF [633 KB, uploaded 28 July 2015]   |  

Abstract

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. View Full-Text
Keywords: investor sentiment; return predictability; stock market; consumer confidence investor sentiment; return predictability; stock market; consumer confidence
Figures

Figure 1

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

Scifeed alert for new publications

Never miss any articles matching your research from any publisher
  • Get alerts for new papers matching your research
  • Find out the new papers from selected authors
  • Updated daily for 49'000+ journals and 6000+ publishers
  • Define your Scifeed now

SciFeed Share & Cite This Article

MDPI and ACS Style

Stivers, A. Forecasting Returns with Fundamentals-Removed Investor Sentiment. Int. J. Financial Stud. 2015, 3, 319-341.

Show more citation formats Show less citations formats

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
Int. J. Financial Stud. EISSN 2227-7072 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top