Arbeitspapier
The impact of investor sentiment on the German stock market
This paper develops a broad-based sentiment indicator for Germany and investigates whether investor sentiment can explain stock returns on the German stock market. Based on a principal component analysis, we construct a sentiment indicator that condenses information of several well-known sentiment proxies. We show that this indicator explains the return spread between sentiment sensitive stocks and stocks that are not sensitive to sentiment fluctuations. Specifically, stocks that are difficult to arbitrage and hard to value are sensitive to the indicator. However, we do not find much predictive power of sentiment for future stock returns.
- Sprache
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Englisch
- Erschienen in
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Series: CFR Working Paper ; No. 10-03 [rev.]
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Information and Market Efficiency; Event Studies; Insider Trading
- Thema
-
investor sentiment
stock returns
German stock market
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Finter, Philipp
Niessen-Ruenzi, Alexandra
Ruenzi, Stefan
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Cologne, Centre for Financial Research (CFR)
- (wo)
-
Cologne
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Finter, Philipp
- Niessen-Ruenzi, Alexandra
- Ruenzi, Stefan
- University of Cologne, Centre for Financial Research (CFR)
Entstanden
- 2011
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