Abstract

This article investigates the suitability of 13 investor sentiment proxies as causal explanations for monthly stock returns of the European S&P 350 constituents over 45 years. We analyzed a sample of 362 companies covering 16 European countries. Analyses incorporate multiple categories of investor sentiment arising from market or survey data, as well as technical analysis, risk measures, company fundamentals and macroeconomic variables. In addition, we provide an extended review of sentiment proxy measures based on market data. This work applied general model of moments (GMM) to dynamic panel data to estimate short-run and long-run influences along with Granger causality. Our findings demonstrate the role of several investor sentiment measures in predicting stock returns even after controlling for variables such as fundamentals, macroeconomic, market and technical analysis. Together, sentiment measures of implied volatility in stock options, such as VIX and VSTOXX, put and call ratios, gold, government bond yield spreads, mispricing along with economic and confidence sentiment indicators can significantly predict how irrational behaviors of investors can determine stock returns. Co-movements between markets provide further evidence of contagion. Considering the unobservable nature of sentiment, we provide a set of sentiment proxies, and reveal new measures such as gold, government yields spread and a mispricing ratio, that serve to predict European market returns. Furthermore, to our knowledge this study is one of the few studies to apply time dynamic panel data estimation to a large set of sentiment proxies and a set of complete control variables in a long-term framework.

摘要

本文调查了 13 种投资者情绪代理作为欧洲标准普尔 350 指数成分股 45 年以上月度股票回报的因果解释的适用性。我们分析了覆盖 16 个欧洲国家的 362 家公司的样本。分析包括由市场或调查数据产生的多种类型的投资者情绪，以及技术分析、风险措施、公司基本面和宏观经济变量。此外，我们提供了基于市场数据的情绪代理措施的扩展审查。这项工作将一般矩模型 (GMM) 应用于动态面板数据，以估计短期和长期影响以及格兰杰因果关系。我们的研究结果表明，即使在控制了基本面、宏观经济、市场和技术分析。总之，股票期权隐含波动率的情绪度量，如 VIX 和 VSTOXX、看跌和看涨比率、黄金、政府债券收益率差、错误定价以及经济和信心情绪指标，可以显着预测投资者的非理性行为如何决定股票回报。市场之间的联动提供了进一步蔓延的证据。考虑到情绪的不可观察性，我们提供了一组情绪代理，并揭示了用于预测欧洲市场回报的新指标，例如黄金、政府收益率差和错误定价比率。此外，据我们所知，这项研究是为数不多的将时间动态面板数据估计应用于长期框架中的大量情绪代理和一组完整控制变量的研究之一。