In this paper, we propose a robust methodology to assess the value of microblogging data to
forecast stock market variables: returns, volatility and trading volume of diverse indices and …

Even the best Wall Street investors make mistakes. No matter how savvy or experienced, all
financial practitioners eventually let bias, overconfidence, and emotion cloud their …

We investigate investor sentiment and its relation to near-term stock market returns. We find
that many commonly cited indirect measures of sentiment are related to direct measures …

The link between asset valuation and investor sentiment is the subject of considerable
debate in the profession. If excessive optimism drives prices above intrinsic values, periods …

Using the Investors' Intelligence sentiment index, we employ a generalized autoregressive
conditional heteroscedasticity-in-mean specification to test the impact of noise trader risk on …

Investors are not all alike, and neither are their sentiments. We show that the sentiment of
Wall Street strategists is unrelated to the sentiment of individual investors or that of …

This paper develops a capital asset pricing theory in a market where noise traders interact
with information traders. Noise traders are traders who commit cognitive errors while …

Based on nearly 38 000 forecasts of stock prices and exchange rates, it appears that non-
experts expect the continuation of apparent past 'trends' in prices. Thus, they are optimistic in …

Purpose The purpose of this paper is to review and discuss the literature focusing on
defining and measuring sentiments so as to understand their role in stock market behavior …

By using an extensive dataset of more than 32 million messages on 91 firms posted on the
Yahoo! Finance message board over the period January 2005 to December 2010, we …