Three Essays on Investor Sentiment and Stock Returns
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Sentiment may influence investor behaviour in a quasi-rational manner and as a result, stock returns. I explore the relationship between investor sentiment and stock returns using a text-based measure of sentiment derived from Thomson Reuters News Analytics. Using a sample set of multiple countries, I find a positive relationship between stock returns and sentiment. Size of a firm is a determining feature of stocks influenced by sentiment. Smaller stocks are most influenced by sentiment.
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