The Relationship between Market Sentiment Index and Stock Rates of Return: a Panel Data Analysis
This article analyzes the relationship between market sentiment and future stock rates of return. We used amethodology based on principal component analysis to create a sentiment index for the Brazilian market withdata from 1999 to 2008. The sample consisted of companies listed on BM&FBOVESPA wh...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)
2012-04-01
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| Series: | BAR: Brazilian Administration Review |
| Subjects: | |
| Online Access: | http://www.anpad.org.br/periodicos/arq_pdf/a_1301.pdf |