Google Insights For Search Investor Sentiment And Stock Market Returns
Download and Read Google Insights For Search Investor Sentiment And Stock Market Returns full books in PDF, ePUB, and Kindle. Read online free Google Insights For Search Investor Sentiment And Stock Market Returns ebook anywhere anytime directly on your device. We cannot guarantee that every ebooks is available!
Google Insights for Search, Investor Sentiment and Stock Market Returns
Author | : Felix Dietrich |
Publisher | : |
Total Pages | : |
Release | : 2011 |
Genre | : |
ISBN | : |
Download Google Insights for Search, Investor Sentiment and Stock Market Returns Book in PDF, Epub and Kindle
The (time-series) frequencies of Google search terms that are possibly related to investor sentiment were transformed into a summary measure, using principal component analysis. This variable was then used in a vector autoregression framework in order to evaluate its in-sample forecasting power and to test for Granger causality between sentiment and stock market returns. In pseudo out-of-sample forecasting experiments, the summary measure's "real-time" performance was compared to an autoregressive model and to a random walk. While I found that investor sentiment Granger causes stock market returns and explains the time-series of stock market returns better than past returns alone, sentiment-based forecast models were not able to consistently beat the two benchmark models out-of-sample.
Google Insights for Search, Investor Sentiment and Stock Market Returns Related Books
Pages:
Pages:
Pages:
Pages: 39
Pages: 374