메뉴 건너뛰기




Volumn 33, Issue 4, 1998, Pages 523-547

Do measures of investor sentiment predict returns?

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0032286911     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.2307/2331130     Document Type: Article
Times cited : (313)

References (34)
  • 1
    • 38149146639 scopus 로고
    • Prime and score premiums
    • July
    • Barber, B. M. "Prime and Score Premiums." Journal of Empirical Finance, 1 (July 1994), 251-278.
    • (1994) Journal of Empirical Finance , vol.1 , pp. 251-278
    • Barber, B.M.1
  • 3
    • 0001651803 scopus 로고
    • Biases in computed returns: An application to the size effect
    • Nov.
    • Blume, M. E., and R. F. Stambaugh. "Biases in Computed Returns: An Application to the Size Effect." Journal of Financial Economics, 12 (Nov. 1983), 387-404.
    • (1983) Journal of Financial Economics , vol.12 , pp. 387-404
    • Blume, M.E.1    Stambaugh, R.F.2
  • 4
    • 0043018173 scopus 로고
    • Closed-end country funds and U. S. market sentiment
    • Fall
    • Bodurtha, J. N.; D. Kim; and C. M. C. Lee. "Closed-End Country Funds and U. S. Market Sentiment." Review of Financial Studies, 8 (Fall 1995), 879-918.
    • (1995) Review of Financial Studies , vol.8 , pp. 879-918
    • Bodurtha, J.N.1    Kim, D.2    Lee, C.M.C.3
  • 5
    • 84977716784 scopus 로고
    • International investment restrictions and closed-end country fund prices
    • June
    • Bonser-Neal, C.; G. A. Brauer; R. Neal; and S. M. Wheatley. "International Investment Restrictions and Closed-End Country Fund Prices." Journal of Finance, 45 (June 1990), 523-547.
    • (1990) Journal of Finance , vol.45 , pp. 523-547
    • Bonser-Neal, C.1    Brauer, G.A.2    Neal, R.3    Wheatley, S.M.4
  • 6
    • 38248998950 scopus 로고
    • Is the ex-ante risk premium always positive? A new approach to testing conditional asset pricing models
    • Dec.
    • Boudoukh, J.; M. Richardson; and T. Smith. "Is the Ex-Ante Risk Premium Always Positive? A New Approach to Testing Conditional Asset Pricing Models." Journal of Financial Economics, 34 (Dec. 1993), 387-408.
    • (1993) Journal of Financial Economics , vol.34 , pp. 387-408
    • Boudoukh, J.1    Richardson, M.2    Smith, T.3
  • 7
    • 84960560786 scopus 로고
    • Smart money, noise trading and stock price behaviour
    • Jan.
    • Campbell, J. Y., and A. S. Kyle. "Smart Money, Noise Trading and Stock Price Behaviour." Review of Economic Studies, 60 (Jan. 1993), 1-34.
    • (1993) Review of Economic Studies , vol.60 , pp. 1-34
    • Campbell, J.Y.1    Kyle, A.S.2
  • 8
    • 85036258669 scopus 로고
    • Distribution of the estimators for autoregressive time series with a unit root
    • June
    • Dickey, D. A., and W. A. Fuller. "Distribution of the Estimators for Autoregressive Time Series with a Unit Root." Journal of the American Statistical Association, 74 (June 1979), 427-431.
    • (1979) Journal of the American Statistical Association , vol.74 , pp. 427-431
    • Dickey, D.A.1    Fuller, W.A.2
  • 9
    • 21144470088 scopus 로고
    • Odd-lot transactions around the turn of the year and the January effect
    • Dec.
    • Dyl, E. A., and E. D. Maberly. "Odd-Lot Transactions around the Turn of the Year and the January Effect." Journal of Financial and Quantitative Analysis, 27 (Dec. 1992), 591-604.
    • (1992) Journal of Financial and Quantitative Analysis , vol.27 , pp. 591-604
    • Dyl, E.A.1    Maberly, E.D.2
  • 10
    • 0000029776 scopus 로고
    • Efficient capital markets: II
    • Dec.
    • Fama, E. F. "Efficient Capital Markets: II." Journal of Finance, 46 (Dec. 1991), 1575-1617.
    • (1991) Journal of Finance , vol.46 , pp. 1575-1617
    • Fama, E.F.1
  • 11
    • 0002056097 scopus 로고
    • Dividend yields and expected stock returns
    • Oct.
    • Fama, E. F., and K. R. French. "Dividend Yields and Expected Stock Returns." Journal of Financial Economics, 22 (Oct. 1988), 3-25.
    • (1988) Journal of Financial Economics , vol.22 , pp. 3-25
    • Fama, E.F.1    French, K.R.2
  • 12
    • 34250890715 scopus 로고
    • Business conditions and expected stock returns
    • Nov.
    • _. "Business Conditions and Expected Stock Returns." Journal of Financial Economics, 25 (Nov. 1989), 23-49.
    • (1989) Journal of Financial Economics , vol.25 , pp. 23-49
  • 13
    • 0000853427 scopus 로고
    • Habit persistence and durability in aggregate consumption: Empirical tests
    • Oct.
    • Ferson, W. E., and G. M. Constantinides. "Habit Persistence and Durability in Aggregate Consumption: Empirical Tests." Journal of Financial Economics, 29 (Oct. 1991), 199-240.
    • (1991) Journal of Financial Economics , vol.29 , pp. 199-240
    • Ferson, W.E.1    Constantinides, G.M.2
  • 14
    • 0000414660 scopus 로고
    • Large sample properties of method of moments estimators
    • July
    • Hansen, L. P. "Large Sample Properties of Method of Moments Estimators." Econometrica, 50 (July 1982), 1029-1054.
    • (1982) Econometrica , vol.50 , pp. 1029-1054
    • Hansen, L.P.1
  • 17
    • 0040898734 scopus 로고    scopus 로고
    • On the predictability of stock returns: An asset-allocation perspective
    • June
    • Kandel, S., and R. F. Stambaugh. "On the Predictability of Stock Returns: An Asset-Allocation Perspective." Journal of Finance, 51 (June 1996), 385-424.
    • (1996) Journal of Finance , vol.51 , pp. 385-424
    • Kandel, S.1    Stambaugh, R.F.2
  • 18
    • 46149129689 scopus 로고
    • Predicting returns in the stock and bond markets
    • Dec.
    • Keim, D. B., and R. F. Stambaugh. "Predicting Returns in the Stock and Bond Markets." Journal of Financial Economics, 17 (Dec. 1986), 357-390.
    • (1986) Journal of Financial Economics , vol.17 , pp. 357-390
    • Keim, D.B.1    Stambaugh, R.F.2
  • 19
    • 84959822288 scopus 로고
    • Mean reversion in stock prices: A reappraisal of the empirical evidence
    • May
    • Kim, M.; C. R. Nelson; and R. Startz. "Mean Reversion in Stock Prices: A Reappraisal of the Empirical Evidence." Review of Economic Studies, 58 (May 1991), 515-528.
    • (1991) Review of Economic Studies , vol.58 , pp. 515-528
    • Kim, M.1    Nelson, C.R.2    Startz, R.3
  • 20
    • 0031138827 scopus 로고    scopus 로고
    • Book-to-market, dividend yield, and expected market returns: A time series analysis
    • May
    • Kothari, S. P., and J. Shanken. "Book-to-Market, Dividend Yield, and Expected Market Returns: A Time Series Analysis." Journal of Financial Economics, 44 (May 1997), 169-203.
    • (1997) Journal of Financial Economics , vol.44 , pp. 169-203
    • Kothari, S.P.1    Shanken, J.2
  • 22
    • 84977736029 scopus 로고
    • Investor sentiment and the closed-end fund puzzle
    • March
    • Lee, C. M. C.; A. Shleifer; and R. H. Thaler. "Investor Sentiment and the Closed-End Fund Puzzle." Journal of Finance, 46 (March 1991), 75-109.
    • (1991) Journal of Finance , vol.46 , pp. 75-109
    • Lee, C.M.C.1    Shleifer, A.2    Thaler, R.H.3
  • 23
    • 0040317647 scopus 로고
    • Asset performance and surplus control: A dual shortfall approach
    • R. Arnott and F. Fabozzi, eds. Chicago, IL: Probus
    • Leibowitz, M.; S. Kogelman; and L. Bader. "Asset Performance and Surplus Control: A Dual Shortfall Approach." In Active Asset Allocation, R. Arnott and F. Fabozzi, eds. Chicago, IL: Probus (1992).
    • (1992) Active Asset Allocation
    • Leibowitz, M.1    Kogelman, S.2    Bader, L.3
  • 24
    • 84977360059 scopus 로고
    • The valuation of closed-end investment company shares
    • June
    • Malkiel, B. G. "The Valuation of Closed-End Investment Company Shares." Journal of Finance, 32 (June 1977), 847-859.
    • (1977) Journal of Finance , vol.32 , pp. 847-859
    • Malkiel, B.G.1
  • 25
    • 84993914996 scopus 로고
    • Predictable stock returns: The role of small sample bias
    • June
    • Nelson, C. R., and M. J. Kim. "Predictable Stock Returns: The Role of Small Sample Bias." Journal of Finance, 48 (June 1993), 641-661.
    • (1993) Journal of Finance , vol.48 , pp. 641-661
    • Nelson, C.R.1    Kim, M.J.2
  • 26
    • 0000706085 scopus 로고
    • A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • May
    • Newey, W. K., and K. D. West. "A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix." Econometrica, 55 (May 1987), 703-708.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 27
    • 0000641708 scopus 로고
    • Closed-end fund premia and returns: Implications for financial market equilibrium
    • March
    • Pontiff, J. "Closed-End Fund Premia and Returns: Implications for Financial Market Equilibrium." Journal of Financial Economics, 37 (March 1995), 341-370.
    • (1995) Journal of Financial Economics , vol.37 , pp. 341-370
    • Pontiff, J.1
  • 28
    • 0002215433 scopus 로고    scopus 로고
    • Book-to-market as a predictor of market returns
    • Aug.
    • Pontiff, J., and L. Schall. "Book-to-Market as a Predictor of Market Returns." Journal of Financial Economics, 49 (Aug. 1998), 141-160.
    • (1998) Journal of Financial Economics , vol.49 , pp. 141-160
    • Pontiff, J.1    Schall, L.2
  • 30
    • 0030506194 scopus 로고    scopus 로고
    • Time-varying expected small firm returns and closed-end fund discounts
    • Fall
    • Swaminathan, B. "Time-Varying Expected Small Firm Returns and Closed-End Fund Discounts." Review of Financial Studies, 9 (Fall 1996), 845-887.
    • (1996) Review of Financial Studies , vol.9 , pp. 845-887
    • Swaminathan, B.1
  • 31
    • 0000707620 scopus 로고
    • The information content of discounts and premiums on closed-end fund shares
    • June/Sept.
    • Thompson, R. "The Information Content of Discounts and Premiums on Closed-End Fund Shares." Journal of Financial Economics, 6 (June/Sept. 1978), 151-186.
    • (1978) Journal of Financial Economics , vol.6 , pp. 151-186
    • Thompson, R.1
  • 32
    • 0001273817 scopus 로고
    • Aggregate mutual fund flows and security returns
    • Oct./Nov.
    • Warther, V. A. "Aggregate Mutual Fund Flows and Security Returns." Journal of Financial Economics, 39 (Oct./Nov. 1995), 209-235.
    • (1995) Journal of Financial Economics , vol.39 , pp. 209-235
    • Warther, V.A.1
  • 34
    • 84944834395 scopus 로고
    • An investor expectations stock price predictive model using closed-end fund premiums
    • March
    • Zweig, M. E. "An Investor Expectations Stock Price Predictive Model Using Closed-End Fund Premiums." Journal of Finance, 28 (March 1973), 67-78.
    • (1973) Journal of Finance , vol.28 , pp. 67-78
    • Zweig, M.E.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.