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The Impact of Investor Sentiment on the German Stock Market

SSRN Electronic Journal
2010
  • 22
    Citations
  • 4,582
    Usage
  • 22
    Captures
  • 0
    Mentions
  • 0
    Social Media
Metric Options:   Counts1 Year3 Year

Metrics Details

  • Citations
    22
    • Citation Indexes
      22
  • Usage
    4,582
    • Abstract Views
      3,804
    • Downloads
      778
  • Captures
    22
    • Readers
      21
    • Exports-Saves
      1
      • SSRN
        1
  • Ratings
    • Download Rank
      64,973

Article Description

This paper investigates whether investor sentiment can explain stock returns on the German stock market. Based on a principal component analysis, we construct a sentiment indicator that condenses information of several well-known sentiment proxies. We show that this indicator explains the return spread between sentiment stocks and stocks that are not sensitive to sentiment fluctuations. Specifically, stocks that are difficult to arbitrage and hard to value are sensitive to the indicator. However, we do not find much predictive power of sentiment for future stock returns. This is consistent with sentiment being of minor importance on the German stock market that is characterized by a low fraction of retail investors.

Bibliographic Details

Philipp Finter; Alexandra Niessen-Ruenzi; Stefan Ruenzi

Elsevier BV

Investor Sentiment; Stock Returns; German Stock Market

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