Capparelli, Remo (A.A. 2020/2021) Investor sentiment and stock returns after 2002. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Nicola Borri, pp. 47. [Master's Degree Thesis]

PDF (Full text) Restricted to Registered users only Download (1MB) | Request a copy

Abstract/Index

Theory and background. The sentiment factor. Literature review. Traditional asset pricing models. The efficient market hypothesis. Theoretical effects of sentiment on the cross section. Past findings and results. How to exploit investors’ sentiment: the role of web search engine and HFT. Data and methodology. Data and firm characteristics. Investor sentiment. Empirical results. Sort portfolios based on firms’ characteristics. Regression analysis. Robustness of the results.

References

Bibliografia: pp. 44-46.

Thesis Type:	Master's Degree Thesis
Institution:	Luiss Guido Carli
Degree Program:	Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair:	Asset pricing
Thesis Supervisor:	Borri, Nicola
Thesis Co-Supervisor:	Reichlin, Pietro
Academic Year:	2020/2021
Session:	Summer
Deposited by:	Alessandro Perfetti
Date Deposited:	14 Mar 2022 13:59
Last Modified:	14 Mar 2022 14:00
URI:	https://tesi.luiss.it/id/eprint/31695

Downloads

Repository Staff Only

View Item