文章基本信息

标题：Investor sentiment, optimism and excess stock market returns. Evidence from emerging markets
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作者：Karolina Daszynska-Zygadlo ; Aleksandra Szpulak ; Adam Szyszka 等
期刊名称：Business and Economic Horizons
印刷版ISSN：1804-1205
电子版ISSN：1804-5006
出版年度：2014
卷号：10
期号：4
页码：362-373
DOI：10.15208/beh.2014.27
出版社：Prague Development Center
摘要：We test the existence of a contemporaneous relationship between sentiment/optimism indexes and returns at the aggregate market level in eight emerging markets, namely: Brazil, China, India, Mexico, Poland, Republic of South Africa, Russia and Turkey. We use sentiment and optimism Thomson Reuters MarketPsych Indexes that are based on scanning media coverage for relevant text reflecting particular moods and opinions. We find that there is a positive relationship between investor sentiment index / investor optimism index and the excess stock market returns in Brazil and China, respectively. We also notice that excess returns are more sensitive to changes in investors moods during periods of negative sentiment/optimism index values in four out of eight researched markets, namely: Brazil, China, India and Mexico. Additionally, this relationship we find positive.
关键词：Media coverage; sentiment; noise; excess stock returns