Does sentiment affect stock returns? A meta-analysis across survey-based measures
Identifikátory výsledku
Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F23%3A10252790" target="_blank" >RIV/61989100:27510/23:10252790 - isvavai.cz</a>
Nalezeny alternativní kódy
RIV/00216224:14560/23:00131271 RIV/00216208:11230/23:10471123 RIV/61384399:31110/23:00059273
Výsledek na webu
<a href="https://www.sciencedirect.com/science/article/pii/S1057521923002892?via%3Dihub" target="_blank" >https://www.sciencedirect.com/science/article/pii/S1057521923002892?via%3Dihub</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.irfa.2023.102773" target="_blank" >10.1016/j.irfa.2023.102773</a>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Does sentiment affect stock returns? A meta-analysis across survey-based measures
Popis výsledku v původním jazyce
We are the first to meta-analyze the literature on the relationship between sentiment and stock returns, a topic that reacts to the history of systemic events causing asset bubbles in financial markets. We focus on three questions - whether the literature is biased; what is the "true effect" beyond this bias; and what are the key determinants of the variance among the estimates in the literature. To answer those questions we collect 1311 point estimates from 30 primary studies and use state-of-art meta-analytical approaches. Both linear and non-linear tests for publication bias suggest that the "true effect" of an improvement in sentiment is non-negligible and negative. In the majority of specifications, researchers tend to report this effect as being much stronger than it actually is. Next, using Bayesian model averaging we show that the effect of sentiment on future returns is significantly stronger for individual investors than for large institutions, and in US stock markets compared with European ones. The effect also depends on several data and model characteristics. (C) 2023 Elsevier Inc.
Název v anglickém jazyce
Does sentiment affect stock returns? A meta-analysis across survey-based measures
Popis výsledku anglicky
We are the first to meta-analyze the literature on the relationship between sentiment and stock returns, a topic that reacts to the history of systemic events causing asset bubbles in financial markets. We focus on three questions - whether the literature is biased; what is the "true effect" beyond this bias; and what are the key determinants of the variance among the estimates in the literature. To answer those questions we collect 1311 point estimates from 30 primary studies and use state-of-art meta-analytical approaches. Both linear and non-linear tests for publication bias suggest that the "true effect" of an improvement in sentiment is non-negligible and negative. In the majority of specifications, researchers tend to report this effect as being much stronger than it actually is. Next, using Bayesian model averaging we show that the effect of sentiment on future returns is significantly stronger for individual investors than for large institutions, and in US stock markets compared with European ones. The effect also depends on several data and model characteristics. (C) 2023 Elsevier Inc.
Klasifikace
Druh
J<sub>imp</sub> - Článek v periodiku v databázi Web of Science
CEP obor
—
OECD FORD obor
50202 - Applied Economics, Econometrics
Návaznosti výsledku
Projekt
—
Návaznosti
S - Specificky vyzkum na vysokych skolach
Ostatní
Rok uplatnění
2023
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
International review of financial analysis
ISSN
1057-5219
e-ISSN
1873-8079
Svazek periodika
89
Číslo periodika v rámci svazku
October
Stát vydavatele periodika
US - Spojené státy americké
Počet stran výsledku
22
Strana od-do
102773
Kód UT WoS článku
001046654700001
EID výsledku v databázi Scopus
2-s2.0-85165378316