|
Archive@NYU >
Stern School of Business >
Finance Working Papers >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/28086
|
| Title: | Global, Local, and Contagious Investor Sentiment |
| Authors: | Wurgler, Jeffrey
Baker, Malcolm
Yuan, Yu |
| Issue Date: | 27-May-2009 |
| Series/Report no.: | FIN-09-002 |
| Abstract: | We construct indexes of investor sentiment for six major stock markets
and decompose them into one global and six local indexes. Relative
market sentiment is correlated with the relative prices of dual-listed
companies, validating the indexes. Both global and local sentiment are
contrarian predictors of the time series of major markets' returns. They
are also contrarian predictors of the time series of cross-sectional
returns within major markets: When sentiment from either global or local
sources is high, future returns are low on various categories of
difficult to arbitrage and difficult to value stocks. Sentiment appears
to be contagious across markets based on tests involving capital flows,
and this presumably contributes to the global component of sentiment. |
| URI: | http://hdl.handle.net/2451/28086 |
| Appears in Collections: | Finance Working Papers
|
All items in Faculty Digital Archive are protected by copyright, with all rights reserved.
|
