Excess Stock Return Comovements And The Role Of Investor Sentiment
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Excess Stock Return Comovements and the Role of Investor Sentiment
Author | : Bart Frijns |
Publisher | : |
Total Pages | : 25 |
Release | : 2017 |
Genre | : |
ISBN | : |
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This paper investigates whether investor sentiment can explain stock return comovements. Our findings demonstrate that since the 1960s, there has been a clear and rapid increase in correlations between international equity markets. Decomposing the equity returns into fundamental and non-fundamental components reveals that the increased correlation is driven by the non-fundamental part. We find that stock return comovements are mainly driven by investor sentiment, which explains the level, variance, and covariance of the non-fundamental component of returns.
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