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Cognitive Dissonance, Sentiment, and Momentum

Citations

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Cited by:

  1. Xue-Zhong He & Kai Li & Chuncheng Wang, 2018. "Time-varying economic dominance in financial markets: A bistable dynamics approach," Published Paper Series 2018-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  2. Guo, Jiaqi & Holmes, Phil, 2022. "Does market openness mitigate the impact of culture? An examination of international momentum profits and post-earnings-announcement drift," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
  3. Day, Min-Yuh & Ni, Yensen & Huang, Paoyu, 2019. "Trading as sharp movements in oil prices and technical trading signals emitted with big data concerns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 349-372.
  4. Bhootra, Ajay, 2019. "Momentum and the Halloween Indicator: Evidence of a new seasonal pattern in momentum returns," Finance Research Letters, Elsevier, vol. 31(C), pages 26-31.
  5. Chen, Lemeng & Lazrak, Skander & Wang, Yan & Welch, Robert, 2019. "Pure momentum is priced," Journal of Behavioral and Experimental Finance, Elsevier, vol. 22(C), pages 75-89.
  6. Klaus Grobys & James W. Kolari & Jere Rutanen, 2022. "Factor momentum, option-implied volatility scaling, and investor sentiment," Journal of Asset Management, Palgrave Macmillan, vol. 23(2), pages 138-155, March.
  7. Constantinos Antoniou & John A. Doukas & Avanidhar Subrahmanyam, 2016. "Investor Sentiment, Beta, and the Cost of Equity Capital," Management Science, INFORMS, vol. 62(2), pages 347-367, February.
  8. Baltzer, Markus & Jank, Stephan & Smajlbegovic, Esad, 2019. "Who trades on momentum?," Journal of Financial Markets, Elsevier, vol. 42(C), pages 56-74.
  9. Onishchenko, Olena & Zhao, Jing & Kongahawatte, Sampath & Kuruppuarachchi, Duminda, 2024. "Investor heterogeneity and anchoring-induced momentum," Journal of Behavioral and Experimental Finance, Elsevier, vol. 42(C).
  10. Garcia-Feijoo, Luis & Jensen, Gerald R. & Jensen, Tyler K., 2018. "Momentum and funding conditions," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 312-329.
  11. Pirie, Scott & Chan, Ronald King To, 2018. "A two-stage study of momentum investing in Asia: A case of cognitive dissonance?," Research in International Business and Finance, Elsevier, vol. 44(C), pages 340-349.
  12. Shahzad, Syed Jawad Hussain & Raza, Naveed & Balcilar, Mehmet & Ali, Sajid & Shahbaz, Muhammad, 2017. "Can economic policy uncertainty and investors sentiment predict commodities returns and volatility?," Resources Policy, Elsevier, vol. 53(C), pages 208-218.
  13. Yu, Hsin-Yi & Chen, Li-Wen & Chen, Chang-Yi, 2022. "The profitability effect: An evaluation of alternative explanations," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
  14. Subrahmanyam, Avanidhar, 2018. "Equity market momentum: A synthesis of the literature and suggestions for future work," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 291-296.
  15. Ahmed Salhin & Mo Sherif & Edward Jones, 2016. "Investor Sentiment and Sector Returns," CFI Discussion Papers 1602, Centre for Finance and Investment, Heriot Watt University.
  16. Liu, Ming-Yu & Chuang, Wen-I & Lo, Chien-Ling, 2021. "Options-implied information and the momentum cycle," Journal of Financial Markets, Elsevier, vol. 53(C).
  17. Hung, Weifeng & Yang, J. Jimmy, 2018. "The MAX effect: Lottery stocks with price limits and limits to arbitrage," Journal of Financial Markets, Elsevier, vol. 41(C), pages 77-91.
  18. Lin, Chaonan & Ko, Kuan-Cheng & Feng, Zhi-Xiang & Yang, Nien-Tzu, 2016. "Market dynamics and momentum in the Taiwan stock market," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 59-75.
  19. Rehman, Mobeen Ur & Sensoy, Ahmet & Eraslan, Veysel & Shahzad, Syed Jawad Hussain & Vo, Xuan Vinh, 2021. "Sensitivity of US equity returns to economic policy uncertainty and investor sentiments," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  20. Chue, Timothy K. & Gul, Ferdinand A. & Mian, G. Mujtaba, 2019. "Aggregate investor sentiment and stock return synchronicity," Journal of Banking & Finance, Elsevier, vol. 108(C).
  21. Hung, Weifeng & Lin, Ching-Ting & Yang, J. Jimmy, 2022. "Aggregate 52-week high, limited attention, and time-varying momentum profits," Journal of Banking & Finance, Elsevier, vol. 141(C).
  22. Ho, Hwai-Chung & Wang, Hsiao-Chuan, 2018. "Momentum lost and found in corporate bond returns," Journal of Financial Markets, Elsevier, vol. 38(C), pages 60-82.
  23. Nikos C. Papapostolou & Nikos K. Nomikos & Panos K. Pouliasis & Ioannis Kyriakou, 2014. "Investor Sentiment for Real Assets: The Case of Dry Bulk Shipping Market," Review of Finance, European Finance Association, vol. 18(4), pages 1507-1539.
  24. Lin, Chaonan & Ko, Kuan-Cheng & Yang, Nien-Tzu, 2022. "Does the momentum gap explain momentum in Taiwan?," Pacific-Basin Finance Journal, Elsevier, vol. 72(C).
  25. Chen, Hong-Yi & Hsieh, Chia-Hsun & Lee, Cheng-Few, 2023. "Revisiting the momentum effect in Taiwan: The role of persistency," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
  26. Shi, Huai-Long & Zhou, Wei-Xing, 2021. "Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  27. Guglielmo Maria Caporale & Menelaos Karanasos & Stavroula Yfanti & Aris Kartsaklas, 2021. "Investors' trading behaviour and stock market volatility during crisis periods: A dual long‐memory model for the Korean Stock Exchange," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4441-4461, July.
  28. Stambaugh, Robert F. & Yu, Jianfeng & Yuan, Yu, 2014. "The long of it: Odds that investor sentiment spuriously predicts anomaly returns," Journal of Financial Economics, Elsevier, vol. 114(3), pages 613-619.
  29. Guo, Xu & Gu, Chen & Zhang, Chengping & Li, Shenru, 2024. "Institutional herding and investor sentiment," Journal of Financial Markets, Elsevier, vol. 68(C).
  30. Liu, Ya-Fei & Li, Hui & Liang, Sai, 2022. "Any reputation is a good reputation: influence of investor-perceived reputation in restructuring on hospitality firm performance," Annals of Tourism Research, Elsevier, vol. 92(C).
  31. Chou, Pin-Huang & Hsieh, Chia-Hsun & Shen, Carl Hsin-Han, 2016. "What explains the orange juice puzzle: Sentiment, smart money, or fundamentals?," Journal of Financial Markets, Elsevier, vol. 29(C), pages 47-65.
  32. Zhaobo Zhu & Licheng Sun & Jun Tu, 2021. "Earnings momentum meets short‐term return reversal," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 2379-2405, April.
  33. Goulding, Christian L. & Harvey, Campbell R. & Mazzoleni, Michele G., 2023. "Momentum turning points," Journal of Financial Economics, Elsevier, vol. 149(3), pages 378-406.
  34. Ung, Sze Nie & Gebka, Bartosz & Anderson, Robert D.J., 2023. "Is sentiment the solution to the risk–return puzzle? A (cautionary) note," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
  35. Khuu, Joyce & Durand, Robert B. & Smales, Lee A., 2016. "Melancholia and Japanese stock returns – 2003 to 2012," Pacific-Basin Finance Journal, Elsevier, vol. 40(PB), pages 424-437.
  36. Guo, Xu & Gu, Chen & Zebedee, Allan A. & Chiu, Li-ting, 2024. "The effect of institutional herding on stock prices: The differentiating role of credit ratings," Journal of Banking & Finance, Elsevier, vol. 163(C).
  37. Zhu, Zhaobo & Duan, Xinrui & Sun, Licheng & Tu, Jun, 2019. "Momentum and reversal: The role of short selling," Journal of Economic Dynamics and Control, Elsevier, vol. 104(C), pages 95-110.
  38. Chen, Hong-Yi & Yang, Sharon S., 2020. "Do Investors exaggerate corporate ESG information? Evidence of the ESG momentum effect in the Taiwanese market," Pacific-Basin Finance Journal, Elsevier, vol. 63(C).
  39. Ying Hao & Hsiang-Hui Chu & Kuan-Cheng Ko & Lin Lin, 2016. "Momentum Strategies and Investor Sentiment in the REIT Market," International Review of Finance, International Review of Finance Ltd., vol. 16(1), pages 41-71, March.
  40. Yang, Yunlin & Gebka, Bartosz & Hudson, Robert, 2019. "Momentum effects in China: A review of the literature and an empirical explanation of prevailing controversies," Research in International Business and Finance, Elsevier, vol. 47(C), pages 78-101.
  41. Büsing, Pascal & Mohrschladt, Hannes & Siedhoff, Susanne, 2024. "Decomposing momentum: The forgotten component," Journal of Banking & Finance, Elsevier, vol. 168(C).
  42. Gao, Xiang & Koedijk, Kees & Walther, Thomas & Wang, Zhan, 2022. "Relative Investor Sentiment Measurement," CEPR Discussion Papers 17370, C.E.P.R. Discussion Papers.
  43. Ming Gu & Minxing Sun & Yangru Wu & Weike Xu, 2021. "Economic policy uncertainty and momentum," Financial Management, Financial Management Association International, vol. 50(1), pages 237-259, March.
  44. Jasman Tuyon & Zamri Ahmad & Hylmee Matahir, 2016. "The Roles of Investor Sentiment in Malaysian Stock Market," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 12(Suppl. 1), pages 43-75.
  45. Demirer, Riza & Yuksel, Asli & Yuksel, Aydin, 2022. "Time-varying risk aversion and currency excess returns," Research in International Business and Finance, Elsevier, vol. 59(C).
  46. Hsu, Ching-Chi & Chen, Miao-Ling, 2018. "Timing of advertising and the MAX effect," Journal of Behavioral and Experimental Finance, Elsevier, vol. 20(C), pages 105-114.
  47. Li, Zhuo & Wen, Fenghua & Huang, Zhijian James, 2023. "Asymmetric response to earnings news across different sentiment states: The role of cognitive dissonance," Journal of Corporate Finance, Elsevier, vol. 78(C).
  48. Celiker, Umut & Kayacetin, Nuri Volkan & Kumar, Raman & Sonaer, Gokhan, 2016. "Cash flow news, discount rate news, and momentum," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 240-254.
  49. Li, Kai, 2021. "Nonlinear effect of sentiment on momentum," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
  50. Chau, Frankie & Deesomsak, Rataporn & Koutmos, Dimitrios, 2016. "Does investor sentiment really matter?," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 221-232.
  51. Lee, John Byong-Tek & Ma, Jun & Margaritis, Dimitris & Yang, Wanyi, 2023. "Is anti-herding always a smart choice? Evidence from mutual funds," International Review of Financial Analysis, Elsevier, vol. 90(C).
  52. Zribi, Wissal & Boufateh, Talel & Lahouel, Bechir Ben & Urom, Christian, 2024. "Uncertainty shocks, investor sentiment and environmental performance: Novel evidence from a PVAR approach," International Review of Financial Analysis, Elsevier, vol. 93(C).
  53. Lee, King Fuei, 2023. "Aging Population and its Effects on Long-Horizon Momentum Profits," MPRA Paper 120931, University Library of Munich, Germany.
  54. Mostafa Saidur Rahim Khan, 2017. "Market States and Momentum: Evidence from the Dhaka Stock Exchange," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-19, June.
  55. Xiong, Xiong & Meng, Yongqiang & Joseph, Nathan Lael & Shen, Dehua, 2020. "Stock mispricing, hard-to-value stocks and the influence of internet stock message boards," International Review of Financial Analysis, Elsevier, vol. 72(C).
  56. Gavriilidis, Konstantinos & Kallinterakis, Vasileios & Tsalavoutas, Ioannis, 2016. "Investor mood, herding and the Ramadan effect," Journal of Economic Behavior & Organization, Elsevier, vol. 132(S), pages 23-38.
  57. Kwansoo Kim & Sang-Yong Tom Lee & Robert J. Kauffman, 2023. "Social informedness and investor sentiment in the GameStop short squeeze," Electronic Markets, Springer;IIM University of St. Gallen, vol. 33(1), pages 1-24, December.
  58. Cashmore, Vanessa & Coster, Neil & Forrest, David & McHale, Ian & Buraimo, Babatunde, 2022. "Female jockeys - what are the odds?," Journal of Economic Behavior & Organization, Elsevier, vol. 202(C), pages 703-713.
  59. Fangming Xu & Huainan Zhao & Liyi Zheng, 2022. "Investment momentum: A two‐dimensional behavioural strategy," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1191-1207, January.
  60. Anastasiou, Dimitris & Kallandranis, Christos & Drakos, Konstantinos, 2022. "Borrower discouragement prevalence for Eurozone SMEs: Investigating the impact of economic sentiment," Journal of Economic Behavior & Organization, Elsevier, vol. 194(C), pages 161-171.
  61. Bohl, Martin T. & Czaja, Marc-Gregor & Kaufmann, Philipp, 2016. "Momentum profits, market cycles, and rebounds: Evidence from Germany," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 139-159.
  62. Ahmad, Khurshid & Han, JingGuang & Hutson, Elaine & Kearney, Colm & Liu, Sha, 2016. "Media-expressed negative tone and firm-level stock returns," Journal of Corporate Finance, Elsevier, vol. 37(C), pages 152-172.
  63. Bahloul, Walid & Bouri, Abdelfettah, 2016. "Profitability of return and sentiment-based investment strategies in US futures markets," Research in International Business and Finance, Elsevier, vol. 36(C), pages 254-270.
  64. Kim, Byungoh & Suh, Sangwon, 2021. "Overnight stock returns, intraday returns, and firm-specific investor sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
  65. Labidi, Chiraz & Yaakoubi, Soumaya, 2016. "Investor sentiment and aggregate volatility pricing," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 53-63.
  66. Mariano González-Sánchez & M. Encina Morales de Vega, 2021. "Influence of Bloomberg’s Investor Sentiment Index: Evidence from European Union Financial Sector," Mathematics, MDPI, vol. 9(4), pages 1-21, February.
  67. Hao, Ying & Chou, Robin K. & Ko, Kuan-Cheng & Yang, Nien-Tzu, 2018. "The 52-week high, momentum, and investor sentiment," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 167-183.
  68. Rilwan Sakariyahu & Mohamed Sherif & Audrey Paterson & Eleni Chatzivgeri, 2021. "Sentiment‐Apt investors and UK sector returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3321-3351, July.
  69. Sina Badreddine & Ephraim Clark, 2021. "The asymmetric effects of industry specific volatility in momentum returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6444-6458, October.
  70. Goetzmann, William N. & Huang, Simon, 2018. "Momentum in Imperial Russia," Journal of Financial Economics, Elsevier, vol. 130(3), pages 579-591.
  71. Qi Xu & Ying Wang, 2021. "Managing volatility in commodity momentum," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 758-782, May.
  72. Chou, Pin-Huang & Ko, Kuan-Cheng & Yang, Nien-Tzu, 2019. "Asset growth, style investing, and momentum," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 108-124.
  73. Şoiman, Florentina & Dumas, Jean-Guillaume & Jimenez-Garces, Sonia, 2023. "What drives DeFi market returns?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).
  74. Simarjeet Singh & Nidhi Walia, 2022. "Momentum investing: a systematic literature review and bibliometric analysis," Management Review Quarterly, Springer, vol. 72(1), pages 87-113, February.
  75. Mu-En Wu & Wei-Ho Chung, 2019. "Empirical Evaluations on Momentum Effects of Taiwan Index Futures via Stop-Loss and Stop-Profit Mechanisms," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 18(02), pages 629-648, March.
  76. Kariofyllas, Spyridon & Philippas, Dionisis & Siriopoulos, Costas, 2017. "Cognitive biases in investors' behaviour under stress: Evidence from the London Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 54-62.
  77. Emilios C. C Galariotis & Phil Holmes & Vasileios Kallinterakis & Xiaodong S. Ma, 2014. "Market states, expectations, sentiment and momentum: How naive are investors?," Post-Print hal-00943345, HAL.
  78. He, Wei & Su, Zhiwei & Yu, Jianfeng, 2024. "Macroeconomic perceptions, financial constraints, and anomalies," Journal of Financial Economics, Elsevier, vol. 162(C).
  79. Ahmed, Bouteska, 2020. "Understanding the impact of investor sentiment on the price formation process: A review of the conduct of American stock markets," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
  80. Jessica Paule-Vianez & Júlio Lobão & Raúl Gómez-Martínez & Camilo Prado-Román, 2021. "Momentum strategies in times of economic policy uncertainty," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 13(3), pages 285-300, April.
  81. Gizelis, Demetrios & Chowdhury, Shah, 2016. "Investor Sentiment and Stock Returns: Evidence from the Athens Stock Exchange," MPRA Paper 71243, University Library of Munich, Germany.
  82. Kim, Byungoh & Suh, Sangwon, 2018. "Sentiment-based momentum strategy," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 52-68.
  83. Byoung‐Kyu Min & Yuchao Xiao, 2021. "Momentum, Reversals, and Business Cycle Turning Points," Abacus, Accounting Foundation, University of Sydney, vol. 57(4), pages 679-708, December.
  84. Du, Qianqian & Liang, Dawei & Chen, Zilin & Tu, Jun, 2022. "Concept links and return momentum," Journal of Banking & Finance, Elsevier, vol. 134(C).
  85. Karam KIM & Doojin RYU, 2020. "Predictive ability of investor sentiment for the stock market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 33-46, December.
  86. Elie Bouri & Riza Demirer & David Gabauer & Rangan Gupta, 2020. "Sentiment and Financial Market Connectedness: The Role of Investor Happiness," Working Papers 202022, University of Pretoria, Department of Economics.
  87. Xie, Jun & Yang, Chunpeng, 2013. "Shouldn't all eggs be putted in one basket? A portfolio model based on investor sentiment and inertial thinking," Economic Modelling, Elsevier, vol. 35(C), pages 682-688.
  88. Fuwei Jiang & Fujing Jin & Kejia Zhang, 2023. "Financial openness and profitability premium: Causal evidence from the Shanghai‐Hong Kong Stock Connect," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(1), pages 451-483, March.
  89. Miwa, Kotaro & Ueda, Kazuhiro, 2016. "Analysts’ preference for growth investing and vulnerability to market-wide sentiment," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 40-52.
  90. Hong‐Yi Chen & Pin‐Huang Chou & Chia‐Hsun Hsieh, 2018. "Persistency of the momentum effect," European Financial Management, European Financial Management Association, vol. 24(5), pages 856-892, November.
  91. Ruan, Qingsong & Wang, Zilin & Zhou, Yaping & Lv, Dayong, 2020. "A new investor sentiment indicator (ISI) based on artificial intelligence: A powerful return predictor in China," Economic Modelling, Elsevier, vol. 88(C), pages 47-58.
  92. Chaonan Lin & Nien‐Tzu Yang & Robin K. Chou & Kuan‐Cheng Ko, 2022. "A timing momentum strategy," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(S1), pages 1339-1379, April.
  93. Nguyen, Hung T. & Pham, Mia Hang, 2021. "Air pollution and behavioral biases: Evidence from stock market anomalies," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
  94. Liu, Chenye & Wu, Ying & Zhu, Dongming, 2022. "Price overreaction to up-limit events and revised momentum strategies in the Chinese stock market," Economic Modelling, Elsevier, vol. 114(C).
  95. Chen, Tsung-Yu & Chou, Pin-Huang & Hsieh, Chia-Hsun & Ghon Rhee, S., 2021. "Momentum life cycle, revisited," Journal of Banking & Finance, Elsevier, vol. 127(C).
  96. Zhang, Xuetong & Zhang, Weiguo, 2023. "Information asymmetry, sentiment interactions, and asset price," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
  97. del Río, Cristina & Ferrer, Elena & López-Arceiz, Francisco J., 2024. "Analyst optimism and market sentiment: Evidence from European corporate sustainability reporters," Research in International Business and Finance, Elsevier, vol. 69(C).
  98. Haga, Jesper, 2015. "Intermediate-term momentum and credit rating," Finance Research Letters, Elsevier, vol. 15(C), pages 59-67.
  99. Ashour, Samar & Hao, Grace Qing & Harper, Adam, 2023. "Investor sentiment, style investing, and momentum," Journal of Financial Markets, Elsevier, vol. 62(C).
  100. Ming‐Yu Liu, 2019. "Improving momentum strategies using residual returns and option‐implied information," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(4), pages 499-521, April.
  101. Wouassom, Alain & Muradoğlu, Yaz Gülnur & Tsitsianis, Nicholas, 2022. "Global momentum: The optimal trading approach," Journal of Behavioral and Experimental Finance, Elsevier, vol. 36(C).
  102. Luo, Jiawen & Demirer, Riza & Gupta, Rangan & Ji, Qiang, 2022. "Forecasting oil and gold volatilities with sentiment indicators under structural breaks," Energy Economics, Elsevier, vol. 105(C).
  103. Barroso, Pedro & Detzel, Andrew, 2021. "Do limits to arbitrage explain the benefits of volatility-managed portfolios?," Journal of Financial Economics, Elsevier, vol. 140(3), pages 744-767.
  104. Romain Espinosa & Jan Stoop, 2021. "Do people really want to be informed? Ex-ante evaluations of information-campaign effectiveness," Experimental Economics, Springer;Economic Science Association, vol. 24(4), pages 1131-1155, December.
  105. Szymon Lis, 2022. "Investor Sentiment in Asset Pricing Models: A Review," Working Papers 2022-14, Faculty of Economic Sciences, University of Warsaw.
  106. Kaplanski, Guy & Levy, Haim, 2017. "Analysts and sentiment: A causality study," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 315-327.
  107. Shangkari V. Anusakumar & Ruhani Ali, 2017. "Momentum and Investor Sentiment: Evidence from Asian Stock Markets," Capital Markets Review, Malaysian Finance Association, vol. 25(1), pages 26-42.
  108. Gady Jacoby & Chi Liao & Nanying Lin & Lei Lu, 2024. "Sentiment and the cross‐section of expected stock returns," The Financial Review, Eastern Finance Association, vol. 59(2), pages 459-485, May.
  109. Zhang, Heming & Wang, Guanying, 2021. "Reversal effect and corporate bond pricing in China," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
  110. John A. Doukas & Xiao Han, 2021. "Sentiment‐scaled CAPM and market mispricing," European Financial Management, European Financial Management Association, vol. 27(2), pages 208-243, March.
  111. Bianchi, Robert J. & Drew, Michael E. & Fan, John Hua, 2016. "Commodities momentum: A behavioral perspective," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 133-150.
  112. Bouteska, Ahmed & Kabir Hassan, M. & Gider, Zeynullah & Bataineh, Hassan, 2024. "The role of investor sentiment and market belief in forecasting V-shaped disposition effect: Evidence from a Bayesian learning process with DSSW model," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
  113. Marcelo Sardelich & Suresh Manandhar, 2018. "Multimodal deep learning for short-term stock volatility prediction," Papers 1812.10479, arXiv.org.
  114. Guo, Haifeng & Hung, Chi-Hsiou D. & Kontonikas, Alexandros, 2022. "The Fed and the stock market: A tale of sentiment states," Journal of International Money and Finance, Elsevier, vol. 128(C).
  115. Min, Byoung-Kyu & Kim, Tong Suk, 2016. "Momentum and downside risk," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 104-118.
  116. Hannah Lea Hühn & Hendrik Scholz, 2018. "Alpha Momentum and Price Momentum," IJFS, MDPI, vol. 6(2), pages 1-28, May.
  117. Ali Fayyaz Munir & Mohd Edil Abd. Sukor & Shahrin Saaid Shaharuddin, 2022. "Adaptive Market Hypothesis and Time-varying Contrarian Effect: Evidence From Emerging Stock Markets of South Asia," SAGE Open, , vol. 12(1), pages 21582440211, January.
  118. Tobias Wiest, 2023. "Momentum: what do we know 30 years after Jegadeesh and Titman’s seminal paper?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(1), pages 95-114, March.
  119. Mohamed Sahbi Nakhli & Abderrazak Dhaoui & Julien Chevallier, 2022. "Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors," Annals of Finance, Springer, vol. 18(2), pages 267-283, June.
  120. Herve, Fabrice & Rouine, Ibtissem & Thraya, Mohamed Firas & Zouaoui, Mohamed, 2024. "Investor sentiment and M&A withdrawal: International evidence," International Review of Financial Analysis, Elsevier, vol. 96(PB).
  121. Geoffrey Booth, G. & Fung, Hung-Gay & Leung, Wai Kin, 2016. "A risk-return explanation of the momentum-reversal “anomaly”," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 68-77.
  122. Zhou, Xuemei & Liu, Qiang & Guo, Shuxin, 2021. "Do overnight returns explain firm-specific investor sentiment in China?," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 451-477.
  123. Ebrahimi Kahou, Mahdi & Lehar, Alfred, 2017. "Macroprudential policy: A review," Journal of Financial Stability, Elsevier, vol. 29(C), pages 92-105.
  124. Spyros I. Spyrou, 2020. "Valuation ratio style investing and economic sentiment: evidence from major Eurozone markets," Review of Quantitative Finance and Accounting, Springer, vol. 55(3), pages 827-856, October.
  125. Bouri, Elie & Demirer, Riza & Gabauer, David & Gupta, Rangan, 2022. "Financial market connectedness: The role of investors’ happiness," Finance Research Letters, Elsevier, vol. 44(C).
  126. Jia, Boxiang & Shen, Dehua & Zhang, Wei, 2022. "Extreme sentiment and herding: Evidence from the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 63(C).
  127. Tripathi, Abhinava & Pandey, Ashish, 2021. "Information dissemination across global markets during the spread of COVID-19 pandemic," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 103-115.
  128. Miwa, Kotaro, 2016. "Investor sentiment, stock mispricing, and long-term growth expectations," Research in International Business and Finance, Elsevier, vol. 36(C), pages 414-423.
  129. Hong, KiHoon & Wu, Eliza, 2016. "The roles of past returns and firm fundamentals in driving US stock price movements," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 62-75.
  130. Lim, Bryan Y. & Wang, Jiaguo (George) & Yao, Yaqiong, 2018. "Time-series momentum in nearly 100 years of stock returns," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 283-296.
  131. Hsu, Ching-Chi & Chen, Miao-Ling, 2019. "Asymmetric effect of style comovement on momentum," Finance Research Letters, Elsevier, vol. 31(C), pages 146-154.
  132. Xiao Han & Nikolaos Sakkas & Jo Danbolt & Arman Eshraghi, 2022. "Persistence of investor sentiment and market mispricing," The Financial Review, Eastern Finance Association, vol. 57(3), pages 617-640, August.
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