Search results for "Investor sentiment"

Médias et sentiment sur les marchés actions européens : influence de la culture nationale

2018

Dans cet article, nous développons une nouvelle mesure du sentiment des investisseurs en Europe à partir d’une analyse de contenus d’articles issus du Financial Times. Dans la lignée des travaux de finance comportementale, nous trouvons que notre mesure du sentiment influence la performance boursière des entreprises difficiles à évaluer et à arbitrer. Par ailleurs, nous montrons que la culture nationale influence le lien entre sentiment des investisseurs et rentabilités boursières. L’impact du sentiment se révèle plus prononcé pour les pays les plus culturellement enclins à des comportements de sur-réaction ou grégaires.

Is Sentiment Risk Priced By Stock Market?

2012

International audience; This study tests if the financial markets price the investors sentiment risk. We construct portfolios based upon the stock returns exposure to sentiment. Our results show that the portfolio returns are positively correlated with the exposure of stocks to sentiment. The strategy that consists of buying stocks with the highest exposure to sentiment and selling stocks with the lowest exposure to sentiment generates a significant raw profit. Exploring the sources of profit, we find that neither the traditional risk factors nor the momentum factor can account for the profit. However, we find that the addition of the sentiment risk premium contributes to explain the profit.

L'apport de la finance d'entreprise comportementale à l'explication de la politique de dividendes

2020

Behavioural corporate finance is an area that has attracted a lot of interest from financial economists, psychologists and neuroscientists over the past decade. This research falls within the scope of behavioural corporate finance, which proves to be an new and promising field of research. The question of dividends, although recurrent, continues to occupy an axiological position in recent research in Finance. Since 2015, France has been considered as one of the most generous countries in terms of dividend distribution in the European Union (EU). At this level, it is a question of research aimed at delimiting the real contours of the determinants of the decision and the amount of the dividen…

Do Investors Care About Noise Trader Risk?

2011

International audience; The link between investor sentiment and asset valuation is at the center of a long-running debate in behavioral finance. Using a new composite sentiment indicator, we show that the conventional risk does not explain the abnormal returns of portfolios most sensitive to the sentiment factor. Our result supports the existence of a sentiment risk valued by financial markets. We also find that the firms more impacted by the sentiment risk correspond to difficult-to-arbitrage and hard-to-value stocks, e.g. small stocks, growth stocks, young stocks, unprofitable stocks, lower dividend-paying stocks, intangible stocks and high volatility stocks.

How Does Investor Sentiment Affect StockMarket Crises? Evidence from Panel Data

2011

Is Big Brother Watching Us? Google, Investor Sentiment and the Stock Market

2013

International audience; This paper proposes a novel measure of French investor sentiment based on the volume of internet search reported by Google Trends. We find that our sentiment indicator correlates well with alternative sentiment measures often used in the literature. Furthermore, we find that investor sentiment influences the behavior of mutual fund investors. The results also reveal evidence about short-run predictability in return. An increase in our sentiment index leads to short-term return reversal. The reversal pattern is more pronounced for smaller firms than larger firms, consistent with the predictions of noise trader's models.