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- W4386092078 abstract "This study examines the impact of investor sentiment on aggregate stock market returns and on cross-section of stock returns for the emerging market of Pakistan. We constructed an investor sentiment index using principal component analysis based on seven proxies: advances-to-decline ratio, share turnover rate, money flow index, relative strength index, price-to-earnings ratio, dividend premium and interest rate. Results of vector auto-regression suggest that one-month lagged sentiment index is a strong predictor of itself and aggregate stock market return with a positive sign, showing persistence and providing evidence of herd behaviour. Our two-dimensional sorts of stock returns indicate disproportionate effect of sentiment on the stock returns as suggested in literature on developed markets; however, the time series regressions of arbitrage portfolios fail to confirm the significance of these cross-sectional patterns." @default.
- W4386092078 created "2023-08-24" @default.
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- W4386092078 date "2023-01-01" @default.
- W4386092078 modified "2023-09-25" @default.
- W4386092078 title "Sentiment and stock returns: aggregate and cross-sectional analysis from Pakistan" @default.
- W4386092078 doi "https://doi.org/10.1504/aajfa.2023.132961" @default.
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