The Relationship between Market Sentiment Index and Stock Rates of Return: a Panel Data Analysis

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...

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Bibliographic Details
Main Authors: Claudia Emiko Yoshinaga, Francisco Henrique Figueiredo de Castro Junior
Format: Article
Language:English
Published: Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD) 2012-04-01
Series:BAR: Brazilian Administration Review
Subjects:
sentiment index
pricing model
GMM panel data.
Online Access:http://www.anpad.org.br/periodicos/arq_pdf/a_1301.pdf

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