Incorporating Macroeconomic Indicators and the Baker-Wurgler Investor Sentiment Model to Forecast Market Returns
2023
- 16Usage
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Example: if you select the 1-year option for an article published in 2019 and a metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019. If you select the 3-year option for the same article published in 2019 and the metric category shows 90%, that means that the article or review is performing better than 90% of the other articles/reviews published in that journal in 2019, 2018 and 2017.
Citation Benchmarking is provided by Scopus and SciVal and is different from the metrics context provided by PlumX Metrics.
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- Usage16
- Abstract Views16
Artifact Description
The ability to predict rises and falls in financial markets has long been studied, with multiple models developed. This research seeks to develop a new model by extending the Baker-Wurgler Investor Sentiment Model to include macroeconomic variables while giving respect to differences in financial regulations. Through Ordinary Least Squares Regression, we seek to predict market returns, proxied by the S&P500 Index, through variables such as the Consumer Price Index and Gross Domestic Product (among others), while adjusting for the enactment of the Dodd-Frank Wall Street Reform Act, Gramm-Bliley-Leach Act, and the near-full repeal of the Glass-Steagall Act.
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