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Dissertations / Theses on the topic 'Investor's sentiments'

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Published: 2 June 2025
Last updated: 31 July 2025

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1

Hudson, Yawen. "Investor sentiment and herding : an empirical study of UK investor sentiment and herding behaviour." Thesis, Loughborough University, 2015. https://dspace.lboro.ac.uk/2134/17797.

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The objectives of this thesis are: first, to investigate the impact of investor sentiment in UK financial markets in different investment intervals through the construction of separate sentiment measures for UK investors and UK institutional investors; second, to examine institutional herding behaviour by studying UK mutual fund data; third, to explore the causal relation between institutional herding and investor sentiment. The study uses US, German and UK financial market data and investor sentiment survey data from 1st January 1996 to 30th June 2011. The impact of investor sentiment on UK e
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Liu, Jinjing. "Investor sentiment, institutional investors and the accrual anomaly : an empirical analysis of China's listed companies." Thesis, Massachusetts Institute of Technology, 2016. http://hdl.handle.net/1721.1/104518.

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Thesis: S.M. in Management Studies, Massachusetts Institute of Technology, Sloan School of Management, 2016.<br>Cataloged from PDF version of thesis.<br>Includes bibliographical references (pages 29-32).<br>The accrual anomaly is a phenomenon that investors gain future abnormal returns through accruals-based hedge portfolios. This paper first shows that China's institutional investors have a better understanding of the persistence of accounting accruals and they more accurately assess stock prices, and that an accrual-based hedge portfolio yields smaller future abnormal returns for firms with
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Chatterjee, Arijit. "Stock Prediction Analyzing Investor Sentiments." Diss., North Dakota State University, 2017. http://hdl.handle.net/10365/26045.

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We are going through a phase of data evolution where a major portion of the data from our daily lives is now been stored on social media platforms. In recent years, social media has become ubiquitous and important for social networking and content sharing. Sentiment analysis and opinion mining is the field of study that analyzes people's opinions, sentiments, evaluations, attitudes, and emotions from written language. In the financial sector, sentiments are also of paramount importance, and this dissertation mainly focuses on the effect of sentiments from investors [3] on the behavior of stock
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4

Salhin, Ahmed. "Managerial sentiment, investor sentiment and stock returns." Thesis, Heriot-Watt University, 2017. http://hdl.handle.net/10399/3375.

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It is well established that investor sentiment plays a vital role in global financial markets. However, the sentiment of other economic agents has received less attention in the behavioural finance literature. This thesis aims to address the impact of managerial sentiment on the UK stock market. It investigates the performance of managerial sentiment in predicting stock returns relative to investor and consumer sentiments. In addition, it examines how sentiment is transmitted from managers to investors and whether the response of investor sentiment is asymmetric towards positive versus negativ
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5

Wang, Jessica Yichun. "Investor attention and sentiment." Thesis, University of East Anglia, 2015. https://ueaeprints.uea.ac.uk/56867/.

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Investor sentiment and attention are often linked to the same non-economic events making it difficult to understand why and how asset prices are affected. This thesis disentangles these two potential drivers of market behaviour by studying how investors react to sports outcomes, weather conditions and merger and acquisition announcements. Firstly, a new dataset of medals for major participating countries and sponsor firms over four Summer Olympic Games is analysed. Results show that although Olympic success does not lead to abnormal stock returns, subsequent market activity is reduced substant
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Brookins, Benjamin David Lee. "Investor sentiment and stock returns." Thesis, Massachusetts Institute of Technology, 2014. http://hdl.handle.net/1721.1/88379.

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Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2014.<br>Title as it appears in MIT degrees awarded booklet, February 2014: Sentiment shocks and stock returns. Cataloged from PDF version of thesis.<br>Includes bibliographical references (page 45).<br>Since Keynes coined the term animal spirits economists have been debating what the real impact human psychology is on economic variables. The major challenge in identifying these effects is the close ties between negative (positive) emotions and poor (good) future real outlook. I exploit a hi
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Ren, Jinjuan, and 任錦娟. "Investor sentiments, agency conflicts, and IPO underpricing." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2009. http://hub.hku.hk/bib/B42664342.

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Ren, Jinjuan. "Investor sentiments, agency conflicts, and IPO underpricing." Click to view the E-thesis via HKUTO, 2009. http://sunzi.lib.hku.hk/hkuto/record/B42664342.

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9

Watkins, Boyce Dewhite. "Investor Sentiment, Trading Patterns and Return Predictability." The Ohio State University, 2002. http://rave.ohiolink.edu/etdc/view?acc_num=osu1038859045.

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Hao, Rui. "Option Pricing Model with Investor Sentiment." Thesis, Uppsala universitet, Tillämpad matematik och statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-325168.

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11

Dang, Trung <1996&gt. "Investor Sentiment in the Cryptocurrency Market." Master's Degree Thesis, Università Ca' Foscari Venezia, 2020. http://hdl.handle.net/10579/18284.

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In recent years, a novel alternative asset class called cryptocurrencies has captured significant attention from financial practitioners and academia. Cryptocurrencies generally lack quantifiable fundamentals that underpin their valuations, causing the asset class to become a prime target affected by sentiment and other behavioral factors. The purpose of this thesis is to investigate the relationship between the price dynamics of cryptocurrencies and investor sentiment. The study selected several measures of sentiment, which can be categorized into two groups: direct and indirect measures. Whi
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Guo, Jiaqi. "Investor behaviour : an examination of investor sentiment and cognitive dissonance." Thesis, University of Leeds, 2017. http://etheses.whiterose.ac.uk/18857/.

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This thesis seeks to examine the roles of investor sentiment and cognitive dissonance on investor behaviour. The objectives of this thesis are: first, to investigate the impact of the interaction of investor sentiment with culture on momentum and post-earnings-announcement-drift by way of cognitive dissonance in international markets; second, using investor sentiment and analyst recommendations to examine how cognitive dissonance affects institutional herding in the U.S. financial market. The effect of investor sentiment, culture as well as cognitive dissonance is examined for the two anomalie
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13

Ding, Wenjie. "Investor sentiment and corss-sectional stock returns." Thesis, Cardiff University, 2018. http://orca.cf.ac.uk/117297/.

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This thesis consists of three essays on investor sentiment and the cross-sections of stock returns. The first essay extends Deling, Shieifer abd Waldman's (1990) noise trader risk module into a module with multiple risky assets to show the asymmetric effect of sentiment in the cross-section. Guided by our module, we also find that the effect of investor sentiment can be decomposed into long and short run components. The empirical tests in the first essay of the thesis present a negative relationship between long-run sentiment component and subsequent stock returns and a positive association be
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14

Adamson, Martin. "Investor sentiment as a market-timing tool." Diss., University of Pretoria, 2017. http://hdl.handle.net/2263/64842.

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Studies in financial markets have moved away from seeking rational and numeric ways of valuing individual shares to investigating ways and means of quantifying investor behavior that in itself effects share prices. Central to the understanding of behavioural finance approaches is the role of investor sentiment. This research attempts to apply a new method of quantifying prevailing investor sentiment on the Johannesburg Stock Exchange, the South African Volatility Index, as a market-timing tool to combine momentum and mean reversion trading strategies. Synthetic portfolios were constructed an
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Sequeira, Elizabetth da Costa. "Os indicadores de confiança, o sentimento do investidor e o mercado de capitais português." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/3191.

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Mestrado em Finanças<br>Este estudo tem como objectivo encontrar uma medida do sentimento do investidor individual português, utilizando como proxy a confiança do consumidor, tal como alguns estudos das finanças comportamentais sugerem. Primeiro, efectuamos uma comparação entre a confiança do consumidor da Comissão Europeia (CE) e do Instituto Nacional de Estatística (INE) com o índice de confiança dos economistas do Instituto Superior de Economia e Gestão (ISEG), relacionando em seguida estes três indicadores com o mercado de capitais português (PSI-20). Os resultados sugerem uma maior relaçã
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Chiu, Hsin-Hui. "Two Essays on Investor Sentiment and Equity Offerings." Digital Archive @ GSU, 2006. http://digitalarchive.gsu.edu/finance_diss/5.

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ABSTRACT TWO ESSAYS ON INVESTOR SENTIMENT AND EQUITY OFFERINGS BY HSIN-HUI CHIU May 2, 2006 Committee Chair: Dr. Jason T. Greene Major Department: Finance Using monthly open-end mutual fund flows as a proxy for investor sentiment, I am able to examine the impact of sentiment on IPO volume and underpricing. I find that issuers’ filing decisions are significantly affected by the predicted future sentiment around the expected IPO dates. Furthermore, sentiment has an impact on the final offer price setting and over-allotment options exercised. While previous research documents IPO cycles wi
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Ho, Chien-Wei. "The role of investor sentiment in asset pricing." Thesis, Durham University, 2012. http://etheses.dur.ac.uk/3382/.

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This thesis investigates various roles that investor sentiment may play in asset pricing. The empirical analysis consists of three main parts based on the role of investor sentiment in the stock markets. The first part discusses the role of investor sentiment as conditioning information. It aims to examine its ability to explain the dynamic nature of the expected returns for individual stocks and its explanatory power capture the financial market anomalies such as the size, value, liquidity, and effects. The second part focuses on the role of investor sentiment as a risk factor. The purpose is
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18

Hsu, Jung-Pang, and 許榮邦. "Relationship Between Herding Behavior in the Taiwan Stock Market and Investor's Sentiments: An Analysis Using the State - Space Model." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/35558787383571824007.

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碩士<br>國立臺北大學<br>經濟學系<br>98<br>This study examines investors’ herding behavior in the entire stock market and individual industries of Taiwan. First, we used the state-space model to investigate the relationship between herding behavior and investors’ sentiments. The samples are from January 3, 1998 to December 31, 2009 for 310 listed companies, and 144 monthly data are generated for each company. Second, we used Granger causality test to explore the lead-lag relationship between investors’ herding behavior and market-performance variables. Finally, impacts of great events on investors’ herd be
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Coelho, Laura Cristina Bonjardim. "Investor sentiment and the cross-section of stock returns in the French stock market." Master's thesis, 2015. http://hdl.handle.net/1822/40030.

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Dissertação de mestrado em Finanças<br>This dissertation studies the impact of investor sentiment on aggregated stock returns and a cross-section of market returns, in the French financial market. Investor sentiment is captured using two distinct measures: a direct measure – the Consumer Confidence Index (CCI) – and an indirect measure – the orthogonalized Investor Sentiment Index (ISI┴). Following the work of Baker and Wurgler (2006) and Baker et al. (2012), the Investor Sentiment Index corresponds to the first principal component of six underlying proxies: market turnover, number and a
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Lin, Yen-Ting, and 林彥廷. "Investor Sentiment and Anomalies." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/6msd73.

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碩士<br>國立交通大學<br>財務金融研究所<br>105<br>This study examines the relationship between anomalies and investor sentiment. We try to use the firm-specific investor sentiment created by Aboody et al(2013) to explain the abnormal returns in trading strategy . Then we find three main results from our experiment. First, investor sentiment will strengthen the price momentum to make stock price more mispricing after new earnings information. On the other words, investor sentiment makes market more underreact. Second, investor sentiment has already reflected the research and development expenses (R&D) on price
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Koshoev, Askar, and 高克爾. "A Comprehensive Study of Investor Sentiments." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/f4649f.

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博士<br>中原大學<br>商學博士學位學程<br>106<br>In order to analyze the cause-and-effect factors of investor sentiments, this dissertation comprises of three independent pieces of research, which investigate the investor sentiments on different scales and perspectives. The first study examines the role of investor sentiments in a stock valuation process by analyzing one of the most popular indicators of a stock valuation, price-to-earnings ratio (P/E), which is designed to provide investors with information about a stock price relative to a firm’s earnings. Theoretically, P/E should keep stock values in equi
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HAUNG, PEI-I., and 黃佩儀. "The Relationship between Investors Sentiments and Stock Returns." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/62ewwp.

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碩士<br>大葉大學<br>國際企業管理學系碩士班<br>105<br>The study is investigate the relationship between investors sentiments and stock returns of Taiwan stock market. We study four proxies for investors sentiments, including TXO put/call volume ratio, short selling/margin ratio, buy/sell of foreign investors and market turnover. The sample period is January 2008 to August 2016. We test the effect of investors sentiments and stock returns with ADF Unit Root Test, Principal Components Analysis, Granger Causality Test and Multiple Regression Analysis. 　　The empirical results show that the stock returns granger cau
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23

LAI, LI-MIN, and 賴麗敏. "Impact of Investor’s Sentiment on Fund Performance." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/33950673056927039977.

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碩士<br>國立暨南國際大學<br>管理學院經營管理碩士學位學程碩士在職專班<br>104<br>Regarding the effect of investor sediment on fund performance, previous studies have mostly focused on the relationship between investor sentiment and stock market returns, and few have explored the influence of investor sentiment on fund performance. In this study, average IPO returns per month and stock market turnover rates are used as investor sentiment indicators to measure the effects of investor sentiment on monthly returns and TREYNOR, SHARPE, and JENSEN fund ratios. Samples dated from 2001 to 2015 are collected. The empirical results sh
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Huang, Jian-yu, and 黃劍鈺. "The Disposition Effect of Investors in Taiwan Stock Market: Evidence from Information Disclosure、Stock Risk and Investor Sentiment." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/t28cc6.

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HSU, CHIUNG-JIA, and 許琼佳. "A New Investor Sentiment Index Created from Trading Activities of Individual Investors: Evidence from the Taiwanese Stock Market." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/pt77dz.

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碩士<br>靜宜大學<br>財務金融學系<br>106<br>This study uses “the number of trading accounts” and “the number of trading people” announced by the Taiwan Stock Exchange Corporation (TWSE) to construct a new investor sentiment index for the Taiwanese stock market, which is dominated by individual investors. By comparing the correlation between the stock prices of Taiwan-listed stocks and the prices of ADRs of the same stocks, I confirms that the index compiled by “the number of trading accounts” or “the number of trading people” can effectively represent the sentiment level of investors in the Taiwanese stock
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Chang, Yu-Chih, and 張宇志. "Investor Sentiment and Market Return." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/57705455122084132844.

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碩士<br>國立中央大學<br>財務金融研究所<br>92<br>According to DeLong, Shleifer, Summers and Waldmann（DSSW, 1990）, there are some noise traders who affect the market efficiency. And investor sentiment is one of the important factors. Our study focuses on TSE monthly data from 1985/01 to 2003/12. We choose market turnover, new equity issues, and margin trading ratio as our investor sentiment proxy. By time series analysis, we find that market turnover both has significant effect and good predictability on market return. By cross-sectional analysis, the result shows that all three sentiment factors are not pric
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Chien, Nai-Chi Chang, and 張簡乃綺. "Investor Sentiment and Executive Compensation." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/84s6k7.

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碩士<br>國立中央大學<br>財務金融學系<br>102<br>In this essay we investigate whether companies take into account market sentiment when designing compensation contracts for their top managers. Since the value of equity compensation depends on the market price of shares, in order to make their compensation policy efficient, firms may have to makes adjustments when investor sentiment is high and the share price is deviant from its fundamental value. With a sample of 9,202 managers in 1,344 Taiwanese companies, we document two important findings. First, stocks indeed are more likely to be over-valued when invest
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Wu, Po Chung, and 吳博翀. "Investor sentiment and conference calls." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/43376289217193390902.

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碩士<br>國立政治大學<br>會計研究所<br>98<br>In this paper we explore the association between investor sentiment and the likelihood of holding conference calls. In other words, this paper investigates how firms react strategically to investor sentiment via their conference calls in an attempt to influence the sentiment-induced biases in expectations. We show that managers strategically vary their voluntary disclosure policies in response to prevailing sentiment. We find that during low-sentiment periods, the firms are more likely to conduct conference calls and conduct them more frequently; while during
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Chang, Shu Hui, and 張淑慧. "Investor Sentiment and Analyst Behavior." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/10634975533714160676.

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碩士<br>國立政治大學<br>會計研究所<br>98<br>This study investigates the relation between investor sentiment and analysts' coverage decisions. Secondly, we also examine whether analysts who pay attention to investor sentiment issue longer-horizon earnings forecasts and more favorable stock recommendations during high-sentiment periods. We use the Consumer Confidence Index (CCI) survey from the National Central University to measure sentiment. We find that analysts tend to issue longer-horizon earnings forecasts and favorable stock recommendations when investor sentiment is more optimistic. Moreover, analyst
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Chang, Wei-Heng, and 張維恆. "Investor Sentiment and Return Covements." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/65458922924419413789.

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Wang, Chen-An, and 王振安. "Investor Sentiment and Momentum Profits." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/76813378807921929359.

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碩士<br>國立中央大學<br>財務金融研究所<br>96<br>This study examines the relationship between sentiment indices and zero-cost momentum profits. We use the slope of implied volatility curve to calculate the IV-Sentiment index and principal component analysis to extract the BW-Sentiment index. Based on pre-ranking period of 12 months, we evidence that momentum strategies are profitable for holding periods range from 3 to 12 months, however, contrarian strategies are profitable for 24 and 36 months holding periods, indicate that U.S. stock market exists short-term momentum and long-term reversal over the period
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Liao, Wan-Hsiu, and 廖婉秀. "Investor Sentiment and Systematic Risk." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/26070709006031045487.

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碩士<br>朝陽科技大學<br>財務金融系碩士班<br>96<br>The cross-sectional equity premiums determined by systematic risk in classical risk-based capital asset pricing model. However, Baker and Wurgler (2006) documented the investor sentiments would significantly impact the cross section of stock returns conditional on underlying systematic risk. Since systematic risk and investor sentiment coexist in stock market, their relative importance should be an interesting issue in the empirical asset pricing study. This paper concentrates on the interaction between behavioral asset pricing approach and risk-based appro
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Tseng, Yen-ling, and 曾彥玲. "Investor Sentiment and REITs Returns." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/65427977206455048006.

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碩士<br>國立臺灣科技大學<br>財務金融研究所<br>96<br>This paper tests if investor sentiment has leading effects on real estate investment trusts (REITs) returns. We select three indirect investor sentiment measures to predict REITs returns: the value-weighted average discounts of REITs, the REITs turnover rate, and the initial returns of REITs IPOs. We apply Granger causality test and vector autoregressions method (VAR) to investigate the relationship between these three investor sentiment measures and REITs returns. We also use impulse response function to exam if unexpected investor sentiment shocks have any
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Lai, Chien-chih, and 賴建志. "Investor sentiment and Retail attention." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/28829385576056812449.

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碩士<br>國立高雄第一科技大學<br>金融系碩士班金融組<br>103<br>We construct two investor indirect sentiment index separately using the procedure of principal component analysis and pick up 150 words which related to household attitude toward the economy and use direct sentiment index which Shih Hsin university constructs. We try to find out the three sentiment index, which one do can exactly estimate retail attention. Consider to investors search the specific company stock, they may search stock abbreviation, thus we use least squares methods respectively analyse the impacts of sentiment index on retail attention fr
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Hsia, Pin-Wei, and 夏斌威. "Momentum Strategy under Investor Sentiment." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/52020993622538079327.

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碩士<br>淡江大學<br>財務金融學系碩士班<br>95<br>This article investigates momentum strategy in Taiwan stock markets. Different from traditional method of fixed holding period we use investor sentiment to choose holding period with momentum strategy. Therefore, using daily data from Taiwan Stock Exchange Corporation and listed on the R.O.C Over-The-Counter Securities Exchange from June. 30. 1997 to June. 30. 2006. Empirical results find that there has short-term momentum effect in trading strategy with fixed holding period. Specifically, we find better investment strategy is MA and TRO strategy method. Th
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Liu, Yi-chen, and 劉伊真. "Investor Sentiment and Earnings Management." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/42150964481595759099.

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碩士<br>國立中央大學<br>企業管理研究所<br>100<br>This study investigates the relation between investor sentiment and earnings management. While prior research suggests that investor sentiment influences various corporate financing and investment activities, limited empirical evidence exists on the influence of investor sentiment on earnings management. We extend this research by examining the relation between investor sentiment and earnings management, and also estimated earnings management in two different accruals ways. From the empirical study, we find that managers’ propensity to manage earnings increas
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Wang, Wei-Ning, and 王暐寗. "Air Quality and Investor Sentiment." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/845hc5.

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碩士<br>國立東華大學<br>財務金融學系<br>107<br>This research mainly analyzes the impact of air quality on individual investors’ transactions. Since environment, such as weather, can affect investors’ behavior through both attention and sentiment, this study aims to clarify how air quality affects investors. We test the trading behavior of individual investors through brokerage branch data and find out that air quality can affect individual investors through their sentiment, but attention cannot explain the impact of air quality on investors. When air quality is good, individual investors are in a better moo
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Liu, Ting-Ya, and 劉婷雅. "Investor sentiment and trading behavior." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/65fesz.

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碩士<br>元智大學<br>財務金融暨會計碩士班(財務金融學程)<br>107<br>In recent years, due to the rise of behavioral finance, investor sentiment has become a topic of extensive discussion in the field of finance. This paper analyzes the relationship between high-sentiment stock trading volume and lottery jackpot. Following the six investor sentiment indicators defined by Baker and Wurgler (2006), this study collects the data of each trading base and the date of Taiwan listed stocks from 2015 to 2016 as a sample of research. This article aims to explore in broker trading base has a lottery jackpot, will the investor orde
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Shi, Wei-Lan, and 施薇蘭. "Early exercise and investor sentiment." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/fphe6g.

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碩士<br>國立交通大學<br>財務金融研究所<br>107<br>This paper considers the early exercise problem of American options with the assumption that investors may be irrational, expressed with stock sentiment and option sentiment. Given the formulae of European options with sentiments, we first employ the static hedging portfolio approach to investigate the early exercise behavior, and then further verify our results with the trinomial lattice. Our findings are as follows: First, put option holders may tend to exercise early but call option holders may postpone to exercise their options when stock sentiment is opti
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Chang, Yi-Cheng, and 張翊晟. "The Impacts of Investors’ Sentiments on Seasoned Equity Offerings." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/66218367373256728836.

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碩士<br>樹德科技大學<br>金融與風險管理系碩士班<br>99<br>This study aims to investigate whether the investor’s sentiment on seasoned equity offerings affects the stock price in the future. Furthermore, we combine the stock price and limited orders to measure the degree of sentiment. First of all, the results show that the market returns and the abnormal returns decrease gradually with the increasing period of holding SEOs for two years. Secondly, the higher the expectation the investors hold, the more disappointment they would get in the future. Finally, the investors’ enthusiastic sentiment have positive effects
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Yu, Chang Pei, and 張佩瑜. "Correlations Between Weather Variables and Investor Sentiments." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/57771893612709767403.

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碩士<br>樹德科技大學<br>金融與風險管理系碩士班<br>100<br>This study investigates the effects of weather variables on investor sentiments. There are four variables: temperature, humidity, sunshine and annul number of typhoon. In addition, the selection of investment sentiment indicators includes: change of trading volume, changes of margins level, change of stock short interest. The sample ranges from 2006 to 2011 with multivariate regression as research model. The results show that annual typhoon and temperature significantly affect the change of trading volume. The rest fails to indicates statistical significan
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Trancoso, Mariana Gonçalves. "Sentimento do investidor no mercado de capitais português." Master's thesis, 2016. http://hdl.handle.net/1822/42246.

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Dissertação de mestrado em Estudos de Gestão<br>A presente dissertação estuda o impacto do sentimento do investidor nas rendibilidades agregadas do mercado português, em horizontes temporais de 1, 3 e 6 meses. A periocidade dos dados é mensal e o horizonte temporal estudado compreende o período de Janeiro de 2002 a Dezembro de 2014. Como indicador de sentimento utilizam-se o índice de confiança do consumidor, o índice de sentimento económico, o índice de sentimento da Investor Intelligence e o índice de sentimento de Baker & Wurgler (2007). Como medida do mercado de capitais português sã
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Hsu, Ming Tse, and 徐銘澤. "The Relationship between Investors Sentiment and Stock Returns." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/34002521152932949914.

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碩士<br>國立嘉義大學<br>管理研究所<br>95<br>This research uses the VAR model (Vector AutoRegression model) and the VAR-GARCH model (Vector AutoRegression-Generalized AutoRegression Conditional Heteroskedasticity model) to studies the relationship between the proxies of investors sentiment and stock returns in Taiwan stock market. Because of the expect effect we separate the variable into two parts, expected part and unexpected part, and we use the VAR model and the VAR-GARCH model to discuss the relationship. Many of these proxies that we picked contain related information. We employ the Principal Componen
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Pan, Li-Jung, and 潘麗容. "The impact of volatility Index on investors\'\'sentiment." Thesis, 2019. http://ndltd.ncl.edu.tw/cgi-bin/gs32/gsweb.cgi/login?o=dnclcdr&s=id=%22107NCHU5457018%22.&searchmode=basic.

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碩士<br>國立中興大學<br>高階經理人碩士在職專班<br>107<br>The impact of volatility index on the investor sentiment is an important empirical issue in recent market research. Many researchers pay a lot attention on this issue and provide evidence to show that volatility index affect the investor sentiment. In addition, they also show that the influence may affect the investors’ trading behavior in stock market. In this paper, we utilize the volatility index, VIX, to analyze its impact on proxy variables of investor sentiment, which include bid-ask spread, total market turnover, relative strength index (RSI), and l
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Hsu, Ching-Chi, and 許菁旂. "Low Volatility Anomaly and Investor Sentiment." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/rauncg.

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博士<br>國立中山大學<br>財務管理學系研究所<br>104<br>A “low volatility anomaly” counters to the implications in the classical portfolio theory and the capital asset pricing model. Behavioral studies document that investors falsely perceive the probability of winning in the gamble higher, leading to a high demand for stocks with lottery-like payoff at the aggregate level, consequently strengthen low volatility anomaly, which a high-risk stock with a low return. In this study, we examine whether investors of propensity to speculate could explain low volatility anomaly. Long-short strategy that exploits the low v
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Tu, Shang-Lien, and 塗尚蓮. "Idiosyncratic Volatility Puzzle and Investor Sentiment." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/9gztdb.

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碩士<br>國立交通大學<br>財務金融研究所<br>104<br>Combining this arbitrage asymmetry with the arbitrage cost represented by idiosyncratic volatility explains the negative relation between IVOL and average return. The IVOL-return relation is negative among overpriced stocks but positive among underpriced stocks, with mispricing determined by combining 7 return anomalies. Consistent with arbitrage asymmetry, the negative relation among overpriced stocks is stronger, especially for stocks less easily shorted, so the overall IVOL-return relation is negative. Furthermore, low investor sentiment weakens the positiv
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Hou, Wen-Lin, and 侯玟伶. "Investor Sentiment and Corporate Dividend Policy." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/84301330267676360729.

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碩士<br>國立東華大學<br>公司理財碩士學位學程<br>97<br>The research analyzes the impact of investor sentiment on dividend policy. The recent literature applied the view of cartering theory, liquidity and idiosyncratic risk of stock to explain why the low “propensity to pay dividends” in American. But they can explain the limited part. We think that investor sentiment can explain how managers do the dividend policy well. The research not only examine how investor sentiment affect dividend policy, but considering whether firms that are likely to be more affected by shifts in investor sentiment-newer, smaller, more
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Huang, Chien Yu, and 黃健祐. "Real Earning Management and Investor Sentiment." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/40449066647352336322.

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碩士<br>長庚大學<br>工商管理學系<br>100<br>Prior research has documented the effect of investor sentiment on accrual-based earning management. The thesis extends the study and examines the relationship between investor sentiment and real earning management. In the research design, this paper uses the annual data of Michigan Consumer Confidence Index as proxy of investor sentiment. We also use Modified Jones Model to estimate discretionary accrual as the proxy of accrual-based earning management. The real earning management proxy includes abnormal cash flow from operations (CFO), production cost, and discr
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Lin, Wen-Hua, and 林琬樺. "Investor sentiment indicators and coffee futures." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/48yr45.

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碩士<br>國立中央大學<br>財務金融學系在職專班<br>105<br>As the coffee futures market is a very speculative market, this study examines how various investor sentiment measures affect the returns on coffee futures. Specifically, this thesis explores how the trading of professional institutional investors and individual investors affect the coffee futures prices from the behavioral finance perspective. Using the Consensus Bullish Sentiment Index as an institutional investor sentiment indicator, the empirical evidence indicates that professional institutional investors are optimistic about the futures prices, t
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Tsai, Meng-Ru, and 蔡孟儒. "A Study of The Relationship Between Investor's Sentiment and VIX." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/k844jv.

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碩士<br>國立雲林科技大學<br>財務金融系<br>102<br>This study focused the relationship between Investor's Sentiment and VIX. In this paper, We have chosen to concentrate on stock market and VIX in Taiwan. The subsequent empirical analysis is the monthly frequencies. The whole sample period is that from December 2006 to November 2013, the second sample period is the whole financial crisis from September 2007 to June 2009, the third period is the pre-financial crisis from September 2007 to September 2008 and finally is the post-financial crisis from September 2008 to June 2009.Using the Principal Component Analy
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