| Reference: | Abraham, David L. Ikenberry, 1994. The individual investor and the weekend effect, Journal of Financial and Quantitative Analysis 29, 263-277.
Baker, M., Stein J., 2004. Market liquidity as a sentiment indicator. Journal of Financial Markets 7, 271–299.
Baker, M., Wurgler, J., 2000. The equity share in new issues and aggregate stock returns. Journal of Finance 55, 2219–2257.
Baker, M., Wurgler, J., 2004. A catering theory of dividends. Journal of Finance 59, 1125–1165.
Baker, M., Wurgler, J., 2006. Investor Sentiment and the Cross-Section of Stock Returns. Journal of Finance 4, 1645-1680.
Barber, Brad, 1999, Noise Trader Risk, Odd-Lot Trading, and Security Returns. Unpublished working paper. University of California at Davis.
Barberis, N., Shleifer, A., 2001. Style Investing. Unpublished working paper. University of Chicago and Harvard University.
Bayless, M., Susan C., 1996. Is there a window of opportunity for seasoned equity issuance. Journal of Finance 51, 253-278.
Black, Fischer, 1986, Journal of Finance 41, 529-543.
Brauer, Greggory A., 1993, Investor sentiment and the closed-end fund puzzle: A 7 percent solution. Journal of Financial Services Research 7, 199-216.
Brown, G.W., 1999. Volatility, sentiment, and noise traders. Financial Analysts Journal 55, 82– 90.
Brown, S., Goetzmann, W., Hiraki, T., Shiraishi, N., Watanabe, M., 2005. Investor sentiment in Japanese and US daily mutual fund flows. Unpublished working paper. University of Yale.
Brown, G. W., and Cliff M. T., 2004. Investor sentiment and the near-term stock market, Journal of Empirical Finance 11, 1-27.
Brown, G. W., and Cliff M. T., 2005. Investor Sentiment and Asset Valuation. Journal of Business 78:2, 405-440.
Chen, N. F., Roll R., Ross, S. A., 1986. Economic forces and the stock market. Journal of Business 59, 383-403.
Chen, N., Kan, R., Miller, M., 1993. Are the discounts on closed-end funds a sentiment index? Journal of Finance 48, 795–800.
Chen, B. S., 2000. The relation of mutual fund flows, performance and market return. Thesis for Master degree. National Kaohsiung First University of Science and Technology.
Choe, Hyuk, Ronald Masulis and Vikram Nanda, 1993. Common stock offerings
across the business cycle: Theory and evidence, Journal of Empirical Finance 1, 3-31.
Chopra, Navin, Charles M.C. Lee, Andrei Shleifer and Richard H. Thaler, 1993. Yes,
Discounts on closed-end funds are a sentiment index, Journal of Finance 48, 801-808.
Chow, B.H., Chang, W.C., Lin, M.C., 2007. Interaction between Investor sentiment and stock return, Taiwan Social Sciences Citation Index 20:1.
Clarke, Roger G. and Meir Statman. 1998. Bullish or Bearish, Financial Analysts
Journal 54:6, 63-72.
Comincioli, B., and Wesleyan, I., 1996. The stock market as a leading indicator: An application of granger causality. The University Avenue Undergraduate Journal of Economics.
De Long, J. B., Shleifer A., Summers L. H. Waldmann R., 1990. Noise trader risk in financial markets. Journal of Political Economy 98, 703–738.
Din, U. R., 2003, Correlation on mutual fund flows and stock return. Thesis for Master degree. Chaoyabg University of Technology.
Edelen, R. M., Warner, J. B., 2001. Aggregate price effects of institutional trading: A study of mutual fund flow and market returns. Journal of Financial Economics, 59, 195-220.
Edwards, F. R., and Zhang, X., 1998. Mutual funds and stock and bond market stability. Journal of Financial Service Research 13:3. 257-282
Elton, E.J., Gruber, M.J., Busse, J.A., 1998. Do investors care about sentiment? Journal of Business 71, 477– 500.
Froot, Kenneth A. and Emil M. Dabora, 1999.How are stock prices affected by the location of trade? Journal of Financial Economics, 53, 189-216.
Glaser, M., Martin W., 2007. Overconfidence and trading volume, Geneva Risk and Insurance Review 32, 1-36.
Goetzmann, W.N., Massa, M., Rouwenhorst, K.G., 2000. Behavioral factors in mutual fund flows, Unpublished working paper. Yale School of Management.
Goetzmann W.N., Massa M., 2002. Daily momentum and contrarian behavior of index fund investors. Journal of Financial and Quantitative Analysis 37, 375-389
Hsu, E.W., 2004. An empirical study of the relationships among mutual fund flows, performances and market return. Thesis for Master degree. Chaoyang University of Technology.
Jolliffe, I.T., 2002. Principal component analysis, 2nd, Springer, New York.
Jones, C., 2002, A century of stock market liquidity and trading costs, Unpublished working paper. University of Columbia.
Harris, L., Gurel, E.,1986. Price and volume effects associated with changes in the S&P 500 list: new evidence for the existence of price pressures. Journal of Finance 41, 815-829.
Hastie, T., Tibshirani, R., and Friedman, J., 2001. The Elements of Statistical Learning; Data mining, Inference and Prediction.
Hirshleifer, D., Tyler S., 2003. Good day sunshine: Stock returns and the weather. The Journal of Finance 58, 1009-1032.
Kamstra, M. J., Lisa, A. K., Maurice, D. Levi, 2000. Losing sleep at the market: The daylight saving anomaly. American Economic Review 90, 1005-1011.
Khan, M., Kogan, L., Serafeim, G. 2009. Mutual fund trading pressure: Firm-level stock price Impact and timing of SEOs. Unpublished working paper.
Kling, G., Gao, L., 2008. Chinese institutional investors’ sentiment. Journal of International Financial Markets, Institutions and Mooney 18, 374-387.
Kothari, S. P., and Jay S., 1997. Book-to-market, dividend yield, and expected market returns: A time-series analysis. Journal of Financial Economics 44, 169–203.
Lakonishok, J. Maberly, E., 1990. The Weekend effect: Trading patterns of individual and institutional investors, Journal of Finance 45:1, 231-243.
Lee, C.M.C., Shleifer, A., Thaler, R.D., 1991. Investor sentiment and the closed-end fund puzzle. Journal of Finance 46, 75–109.
Li, B. I., 2001. Decisive factors on mutual fund flows: Individual and aggregate views. Thesis for Master degree. National Kaohsiung First University of Science and Technology.
Lin, I. C., 1999. The relation of mutual fund flows and market return. Thesis for Master degree. National Kaohsiung First University of Science and Technology.
Neal, R., Simon, W., 1998. Do measures of investor sentiment predict stock returns? Journal of Financial and Quantitative Analysis 34, 523–547.
Ritter, J., 1991. The long-run performance of initial public offerings. Journal of Finance 46, 3–27.
Saunders, E. M. J., 1993, Stock prices and Wall Street weather. The American
Economic Review 83, 1337-1345.
Schmitz, P., Glaser, M., Weber, M., 2009. Individual investor sentiment and stock returns - what do we learn from warrant traders? Unpublished working paper.
Shiller, R. J., 1981. Do stock prices move too much to be justified by subsequent changes in dividends? American Economic Review 71, 421–436.
Shiller, R, J., Fumiko, K.Y.,Yoshiro, T., 1996. Why did the Nikkei Crash? Expanding the scope of expectations data collection. Review of Economics and Statistics 78:1, 156-64.
Shiller, R. J., 2000. Irrational Exuberance.
Shleifer, A., 1986. Do demand curve for stock slope down? Journal of Finance 3, 579-500.
Shleifer, A., Summers, L., 1990. The noise trader approach to finance, Journal of
Economic Perspectives 4(2), 19-33.
Siegel, J.J., 1992. Equity risk premia, corporate profit forecasts, and investor sentiment around the stock crash of October 19/87. Journal of Business 65, 557–570.
Solt, Michael E., Meir, S., 1988. How useful is the sentiment index? Financial Analysts Journal 44:5, 45-55.
Stigler, George J., 1964. Public regulation of the securities markets. Journal of Business 37, 117–142.
Summers, Lawrence H. 1986. Does the stock market rationally reflect fundamental values? Journal of Finance 41, 591–601.
Swaminathan, Bhaskaran, 1996. Time-varying expected small firm returns and closed-end fund discounts, Review of Financial Studies 9, 845–887.
Wang, Y. H., Aneel, K. S., Taylor J., 2006. The relationships between sentiment, returns and volatility. International Journal of Forecasting, 22, 109-123.
Warther, V. A., 1995. Aggregate mutual fund flows and security returns. Journal of Financial Economics 39, 209-235.
Yang, K. T., 2002, Relationship between mutual fund flows and security return. Thesis for Master degree. University of Soochow.
Zheng, L., 1999. Is money smart? A study of mutual fund investors’fund selection ability. Journal of Finance 54, 901-933.
Zweig, Martin E., 1973. An investor expectations stock price predictive model using closed-end fund premiums, Journal of Finance 28, 67-78 |
