scholarly journals Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment

2021 ◽  
Author(s):  
Ian W. R. Martin ◽  
Can Gao
Keyword(s):  
Empirical Measure ◽  
Market Sentiment ◽  
Valuation Ratios

Why Do Valuation Ratios Forecast Long-Run Equity Returns?

CFA Digest ◽  
1999 ◽  
Vol 29 (4) ◽  
pp. 60-62
Author(s):  
Thomas J. Latta
Keyword(s):  
Equity Returns ◽  
Long Run ◽  
Valuation Ratios

Market Sentiment and the Cross-section of Expected Stock Returns

2020 ◽  
Author(s):  
Gady Jacoby ◽  
Chi Liao ◽  
Sheldon Lin ◽  
Lei Lu
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Market Sentiment ◽  
Expected Stock Returns ◽  
The Cross

New institutional investors in the IPO secondary market: Sentiment or fundamentals?

2021 ◽  
Author(s):  
Xudong Fu ◽  
Janet Hamilton ◽  
Qin Lian ◽  
Tian Tang ◽  
Qiming Wang
Keyword(s):  
Institutional Investors ◽  
Secondary Market ◽  
Market Sentiment

scholarly journals Building stock market resilience through digital transformation: using Google trends to analyze the impact of COVID-19 pandemic

2020 ◽  
Vol 14 (1) ◽  
Author(s):  
Ding Ding ◽  
Chong Guan ◽  
Calvin M. L. Chan ◽  
Wenting Liu
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Price ◽  
Digital Transformation ◽  
Google Trends ◽  
Building Stock ◽  
Market Sentiment ◽  
Price Performance ◽  
Novel Coronavirus ◽  
The Impact

Abstract As the 2019 novel coronavirus disease (COVID-19) pandemic rages globally, its impact has been felt in the stock markets around the world. Amidst the gloomy economic outlook, certain sectors seem to have survived better than others. This paper aims to investigate the sectors that have performed better even as market sentiment is affected by the pandemic. The daily closing stock prices of a total usable sample of 1,567 firms from 37 sectors are first analyzed using a combination of hierarchical clustering and shape-based distance (SBD) measures. Market sentiment is modeled from Google Trends on the COVID-19 pandemic. This is then analyzed against the time series of daily closing stock prices using augmented vector autoregression (VAR). The empirical results indicate that market sentiment towards the pandemic has significant effects on the stock prices of the sectors. Particularly, the stock price performance across sectors is differentiated by the level of the digital transformation of sectors, with those that are most digitally transformed, showing resilience towards negative market sentiment on the pandemic. This study contributes to the existing literature by incorporating search trends to analyze market sentiment, and by showing that digital transformation moderated the stock market resilience of firms against concern over the COVID-19 outbreak.

Sign in / Sign up

Export Citation Format

Share Document