Three Essays on Investor Sentiment and Stock Returns
Access Status
Open access
Authors
Khuu, Joyce
Date
2018Supervisor
Prof Robert Durand
Type
Thesis
Award
PhD
Metadata
Show full item recordFaculty
Business and Law
School
Economics and Finance
Collection
Abstract
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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