V. Anusakumar, Shangkari and Ali, Ruhani and Hooy , Chee Wooi
(2017)
The Effect Of Investor Sentiment On Stock
Returns: Insight From Emerging Asian
Markets.
Asian Academy of Management Journal of Accounting and Finance, 13 (1).
pp. 1-20.
ISSN 1823-4992
Abstract
This paper investigates the link between investor sentiment and stock returns in emerging
Asian markets. Two dimensions of sentiment are examined: stock specific sentiment and
market wide sentiment. Using panel regression with firm fixed effects, we show that stock
specific sentiment strongly and positively affects stock returns after controlling for firm
characteristics. Overall, there is a positive relationship between market wide sentiment and
returns but the relationship does not hold at the country level. For individual countries, we
detect substantial country-to-country variations in the influence of market wide sentiment
on returns. The evidence also suggests that stock specific sentiment may have a greater
influence on returns than market specific sentiment. Furthermore, the effect of investor
sentiment on stock returns in emerging Asian markets generally persists after accounting
for macroeconomic factors.
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