DC FieldValueLanguage
dc.contributorSchool of Accounting and Finance-
dc.creatorChue, TK-
dc.creatorGul, FA-
dc.creatorMian, GM-
dc.date.accessioned2021-05-13T08:32:52Z-
dc.date.available2021-05-13T08:32:52Z-
dc.identifier.issn0378-4266-
dc.identifier.urihttp://hdl.handle.net/10397/89940-
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.subjectAggregate investor sentimenten_US
dc.subjectCross-sectional differenceen_US
dc.subjectStock return synchronicityen_US
dc.subjectTime-series variationen_US
dc.titleAggregate investor sentiment and stock return synchronicityen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.volume108-
dc.identifier.doi10.1016/j.jbankfin.2019.105628-
dcterms.abstractWe show that the returns of individual stocks become more synchronous with the aggregate market during periods of high investor sentiment. We also document that the effect of sentiment on stock return synchronicity is especially pronounced for small, young, volatile, non-dividend-paying and low-priced stocks. This ‘difference in difference’ suggests that stocks with these characteristics are affected more by sentiment—consistent with previous studies. Our results support the hypothesis that greater constraints on arbitrage and the prevalence of sentiment-driven demand during periods of high sentiment lead to increased comovement among stocks.-
dcterms.bibliographicCitationJournal of banking and finance, Nov. 2019, v. 108, 105628-
dcterms.isPartOfJournal of banking and finance-
dcterms.issued2019-11-
dc.identifier.scopus2-s2.0-85072288590-
dc.identifier.eissn1872-6372-
dc.identifier.artn105628-
dc.description.validate202105 bcvc-
dc.identifier.FolderNumbera0782-n01-
dc.identifier.SubFormID1682-
dc.description.fundingSourceRGC-
dc.description.fundingText590313-
Appears in Collections:Journal/Magazine Article
Access
View full-text via PolyU eLinks SFX Query
Show simple item record

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.