THE EFFECT OF INVESTOR SENTIMENT ON STOCK MARKET RETURNS
Master thesis
Permanent lenke
https://hdl.handle.net/11250/3106067Utgivelsesdato
2023Metadata
Vis full innførselSamlinger
- Master of Science [1712]
Sammendrag
In this Master Thesis, we study whether the effect of market sentiment on
stocks that possess certain characteristics is still present. Additionally, we
study whether the information is tradeable by defining three degrees of tradeability.
We test whether portfolios that hold certain stocks are affected by
changing market sentiment in general and in the cross-section. Our findings
suggest that high investor sentiment is followed by low returns and vice versa.
Importantly. the relation holds when using readily available data to construct
the sentiment index. We conclude that investor sentiment has predictive power
in the cross-section of returns.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2023