• DOI:10.1016/J.JFINECO.2011.11.002
Corpus ID: 906017

Global, Local, and Contagious Investor Sentiment

@article{Baker2009GlobalLA,
  title={Global, Local, and Contagious Investor Sentiment},
  author={M. Baker and Jeffrey Wurgler and Yu Yuan},
  journal={Capital Markets: Asset Pricing & Valuation},
  year={2009}
}

M. Baker, Jeffrey Wurgler, Yu Yuan

Published 2009

Economics

Capital Markets: Asset Pricing & Valuation

We construct investor sentiment indices for six major stock markets and decompose them into one global and six local indices. In a validation test, we find that relative sentiment is correlated with the relative prices of dual-listed companies. Global sentiment is a contrarian predictor of country-level returns. Both global and local sentiment are contrarian predictors of the time-series of cross-sectional returns within markets: When sentiment is high, future returns are low on relatively… CONTINUE READING

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