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- W2912390009 abstract "Numerous studies treat the Baker and Wurgler (BW) investor sentiment index as a behavioral variable. However, they could all be misleading since the BW sentiment index seems dominated by fundamental information. Using a novel approach, we remove more than 60% fundamental related information out of the BW sentiment index to obtain a purged sentiment index. Empirically, the purged sentiment index outperforms the original contaminated BW sentiment index in capturing the sentiment impact on cross-sectional stock returns and also beats various survey-based sentiment indices. Therefore, to avoid the risk of producing misleading results based on the contaminated BW sentiment index, the purged sentiment index could serve as a safer choice for sentiment studies." @default.
- W2912390009 created "2019-02-21" @default.
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- W2912390009 date "2017-01-31" @default.
- W2912390009 modified "2023-09-24" @default.
- W2912390009 title "Mirage in the Desert: Investor Sentiment Purged" @default.
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