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Title: Market Psychology and Aggregate Stock Returns: Evidence from Australian Consumer Sentiment
Authors: Lin, Chien-Ting
Ho, Chia-Cheng
Hsieh, Hisn-Jung
Authors (Email): Lin, Chien-Ting (
Ho, Chia-Cheng (
Hsieh, Hisn-Jung (
Keywords: consumer sentiment
behaviour finance
stock returns
JEL Codes: G12
Issue Date: 2009-03
Series/Report no.: Vol.5
Abstract: We present evidence that consumer sentiment has a direct effect on excess aggregate stock returns. We also trace the source of this positive effect and find that public perception over the next year’s economic condition is the most important determinant for the stock market. Our findings remain conclusive even in the presence of other well known risk-based factors. The evidence thus supports behaviour finance theory that incorporates both psychological judgement and systematic risks. However, we do not find that past stock returns are influential on current sentiment nor do we find current sentiment Granger-cause subsequent stock return.
Institution/Association: Review of Applied Economics>Volume 5, Number 1-2, 2009
Total Pages: 15
From Page: 67
To Page: 81
Collections:Volume 05, Number 1-2, 2009

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