CORDIS Project
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This project investigates the influence of investor sentiment on stock market behavior by developing new measurement techniques and econometric models. It aims to analyze the interconnectedness of sentiment across stocks and its impact on market volatility and pricing.
Sentiment drives the stock market (Shiller, 2000).
Over-optimistic and over-pessimistic emotions can lead to great mispricing and excess volatility.
The question is no longer whether investor sentiment affects stock prices, but rather how to measure investor sentiment and quantify its effects (Baker and Wurgler, 2007). (1) The proposal firstly plans to improve upon existing measures of investor sentiment by combining financial proxies and textual variables.
Then it tries to calibrate the option-…
HUMBOLDT-UNIVERSITAET ZU BERLIN
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