DC Field | Value | Language |
---|---|---|
dc.contributor.author | Seok, Sangik | ko |
dc.contributor.author | Cho, Hoon | ko |
dc.contributor.author | Ryu, Doojin | ko |
dc.date.accessioned | 2024-09-27T07:00:11Z | - |
dc.date.available | 2024-09-27T07:00:11Z | - |
dc.date.created | 2024-09-27 | - |
dc.date.issued | 2024-06 | - |
dc.identifier.citation | QUARTERLY REVIEW OF ECONOMICS AND FINANCE, v.95, pp.300 - 315 | - |
dc.identifier.issn | 1062-9769 | - |
dc.identifier.uri | http://hdl.handle.net/10203/323273 | - |
dc.description.abstract | This study investigates the interplay between firm-level investor sentiment and uncertainty in financial markets. We demonstrate that investor sentiment significantly influences short-term stock market returns, particularly when there is an increase in firm-level uncertainty. This correlation becomes weaker among firms experiencing a decrease in uncertainty. The cross-sectional effect of sentiment is more pronounced during periods of heightened uncertainty, as evidenced by the higher returns of sentiment-based long-short portfolios under these conditions. Our findings are robust to adjusting for various factors and using alternative uncertainty and sentiment measures. | - |
dc.language | English | - |
dc.publisher | ELSEVIER SCIENCE INC | - |
dc.title | Dual effects of investor sentiment and uncertainty in financial markets | - |
dc.type | Article | - |
dc.identifier.wosid | 001240623900001 | - |
dc.identifier.scopusid | 2-s2.0-85192242478 | - |
dc.type.rims | ART | - |
dc.citation.volume | 95 | - |
dc.citation.beginningpage | 300 | - |
dc.citation.endingpage | 315 | - |
dc.citation.publicationname | QUARTERLY REVIEW OF ECONOMICS AND FINANCE | - |
dc.identifier.doi | 10.1016/j.qref.2024.04.006 | - |
dc.contributor.localauthor | Cho, Hoon | - |
dc.contributor.nonIdAuthor | Seok, Sangik | - |
dc.contributor.nonIdAuthor | Ryu, Doojin | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Sentiment | - |
dc.subject.keywordAuthor | Time -series returns | - |
dc.subject.keywordAuthor | Uncertainty | - |
dc.subject.keywordAuthor | Cross-sectional returns | - |
dc.subject.keywordAuthor | Mispricing | - |
dc.subject.keywordPlus | INFORMATION UNCERTAINTY | - |
dc.subject.keywordPlus | RETURN PREDICTABILITY | - |
dc.subject.keywordPlus | TRADING BEHAVIOR | - |
dc.subject.keywordPlus | STOCK RETURNS | - |
dc.subject.keywordPlus | CROSS-SECTION | - |
dc.subject.keywordPlus | VOLATILITY | - |
dc.subject.keywordPlus | NEWS | - |
dc.subject.keywordPlus | RISK | - |
dc.subject.keywordPlus | EQUILIBRIUM | - |
dc.subject.keywordPlus | COMOVEMENTS | - |
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