Footnote:
In: Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 10, 2018 erstellt
Description:
We study how investor sentiment affects stock prices around the world. Relying on households' Google search behavior, we construct a weekly measure of sentiment for 38 countries during the 2004–2014 period. We validate the sentiment index in tests using sports outcomes and show that the sentiment measure is a contrarian predictor of country-level market returns. Furthermore, we document an important role of global sentiment in stock markets