Does Sentiment Matter for Stock Market Returns? Evidence from a Small European Market

被引：23

作者：

da Assuncao Fernandes, Carla Manuela ^{[1
]}

Marques Gama Goncalves, Paulo Miguel ^{[2
]}

Simoes Vieira, Elisabete Fatima ^{[3
]}

机构：

[1] Univ Aveiro ISCA, P-3811902 Aveiro, Portugal

[2] Univ Coimbra ISR Coimbra, Coimbra, Portugal

[3] Univ Aveiro GOVCOPP, Aveiro, Portugal

来源：

JOURNAL OF BEHAVIORAL FINANCE | 2013年 / 14卷 / 04期

关键词：

Behavioral finance; Investor sentiment; Industries; INVESTOR SENTIMENT;

D O I：

10.1080/15427560.2013.848867

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using Portuguese stock market returns, at the aggregate and industry levels, over the period 1997-2009, we find that the European Union (EU) Economic Sentiment Indicator (ESI) and Consumer Confidence Index are driven by both rational and irrational factors. Irrational ESI is significantly negatively related to stock returns. Sentiment negatively forecasts aggregate stock market returns, but not all industry index returns. We find no contagious effect of U.S. investor sentiment on Portuguese market returns.

引用

页码：253 / 267

页数：15

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