This paper studies the impact of a high-frequency investor sentiment measure (New FEARS) on the returns of foreign securities listed in U.S. markets as American Depository Receipts (ADRs). We recreate a high-frequency investor sentiment measure by aggregating search volume indices (SVIs) for a set of negative economic search terms. We find that ADR aggregate market returns exhibit a negative reaction to increases in searches for negative economic terms such as "recession ", "crisis ", and "bankruptcy " by U.S. households. This is the first paper to measure the effects of high-frequency investor sentiment on cross-listed securities. Moreover, the results are consistent throughout our study regardless of the variation of sentiment and aggregate market return measure we use. We also explore ADR regional market indices and show that Latin American ADRs are more sensitive to this investor sentiment measure.

The purpose of this study is to examine the financial performance of an online gambling portfolio. The performance of the online gambling portfolio is compared to both the market and a socially responsible portfolio. Additionally, the financial performance is examined during the Great Recession, a period which includes significant financial instability. Financial performance measures designed for periods of negative average returns are utilized. Unconditional and conditional financial performance measures indicate that the online gaming portfolio underperforms the market portfolio. Additionally, the results indicate that relative to the socially responsible portfolio, the online gambling portfolio underperforms as well. Moreover, the results of the modified Sharpe ratios indicate a significant difference compared to the traditional measures. The rankings of all three portfolios changes significantly, with the online gambling portfolio performing the worst out of the three. Finally, the Jobson and Korkie tests showed no significant difference between the traditional performance measures, but this result could be due to the lack of power of the test. This empirical investigation provides insight into the financial performance of online gambling stocks in the UK. JEL Codes: G00, G11, G15, G19.

In this paper we assess the effect of a high frequency investor sentiment measure, captured by aggregating search volume indices (SVI) for a set of economically negative and relevant search terms and its effect on returns of cross-listed securities indices. Similar to US stock returns, the ADR’s returns exhibit a negative reaction to increases in the search for negative economic terms such as ‘Recession’, ‘Crisis’ and ‘Bankruptcy’. This paper’s contribution is twofold; first we show the effect of US investors sentiment on ADR returns at the aggregate level and for a list of 30 countries. Second, we expand the literature that utilizes SVI-based data to reflect investor’s attitudes towards financial markets.

Purpose The purpose of this paper is to examine the temporal impact of individual and institutional investor sentiment on sin stock returns. Design/methodology/approach The authors estimate vector autoregressive models (VARs) to assess the dynamic relationships amongst pure sin returns and both types of investor sentiment. The justification for estimating VARs is that it allows one to study the potential influence that shocks (i.e. innovations) in individual and institutional investor sentiment might have on pure sin returns over time. Sin stock returns are separated into a market-based and pure sin component. Additionally, the authors split both measures of investor sentiment into rational- and irrational-based components. Findings This study finds that shocks to both individual and institutional rational-based sentiment positively influence pure sin returns for up to four months. However, irrational-based shocks have a positive, weaker and insignificant effect on pure sin returns. In addition, the results for the pure sin portfolio are compared to the S&P 500 and a comparables portfolio. The results show that sin stocks are less responsive than the S&P and the comparables portfolio to shocks in investor sentiment. Originality/value This study addresses some of the limitations found in the only prior study of sin stocks and investor sentiment (Perez Liston, 2016). Specially, this study investigates the link between sin stocks and sentiment in a dynamic context and also focuses the analysis on pure sin returns.

Purpose The purpose of this paper is to test whether investor sentiment is a significant predictor of future Mexican stock market returns. It also estimates the dynamic correlation between investor sentiment and equity returns. Finally, it examines if investor sentiment innovations impact unexpected returns for a variety of portfolios. Design/methodology/approach This study utilizes predictive regressions to determine if sentiment can predict Mexican equity returns. Multivariate GARCH models are estimated to examine the time-varying correlations between investor sentiment and equity returns. Findings The results show that Mexican investor sentiment is a significant predictor of Mexican equity returns for up to 24 months ahead. The findings show that high levels of sentiment today are associated with lower equity returns over the near term. Furthermore, multivariate GARCH estimations indicate that the correlation between investor sentiment and equity returns is not static and varies considerably over time. Finally, the findings indicate that sentiment innovations are significantly correlated with unexpected returns, reinforcing the notion that unexplained sentiment fluctuations lead to unexplained changes in stock market returns. Overall, these results suggest that investor sentiment is a significant source of risk for the Mexican stock market. Originality/value This study seeks to further our understanding of how behavioral factors influence and predict Mexican equity returns.

We examine the relationship between sentiment and Mexican stock market returns. Results suggest a positive dynamic relationship between rational Mexican sentiment and equity market returns. Results also reveal a spillover of US sentiment on the return-generating process of the Mexican stock market that is distinct from domestic sentiment. This effect may be attributed to close economic ties and ease of capital flows between the two countries. Additionally, we find that rational sentiment and market returns are inversely related to the Peso/US dollar exchange rate. Our findings suggest that sentiment is a significant risk factor in the Mexican stock market.

This paper studies whether investor sentiment can predict future Mexican stock market returns. Furthermore, we examine the dynamic correlation between sentiment and returns. Lastly, we examine whether sentiment innovations influence unexpected returns. We find that sentiment has significant predictive power up to 24 months ahead. Higher levels of sentiment today lead to lower returns in the future. We also find that the correlation between investor sentiment and equity returns varies over time. Finally, we find that sentiment innovations are correlated with unexpected returns. Overall, the results suggest that investor sentiment is an important risk factor for the Mexican stock market.

Purpose The purpose of this paper is to quantify beta for an online gambling portfolio in the UK and investigates whether it is time-varying. It also examines the dynamic correlations of the online gambling portfolio with both the market and socially responsible portfolios. In addition, this paper documents the effect of important UK gambling legislation on the betas and correlations of the online gambling portfolio. Design/methodology/approach This study uses static and time-varying models (e.g. rolling regressions, multivariate GARCH models) to estimate betas and correlations for a portfolio of UK online gambling stocks. Findings This study finds that beta for the online gambling portfolio is less than 1, indicative of defensiveness toward the market, a result that is consistent with prior literature for sin stocks. In addition, the conditional correlation between the market and online gambling portfolio is small when compared to the correlation of the market and socially responsible portfolios. Findings suggest that the adoption of the Gambling Act 2005 increases the conditional correlation between the market and online gambling portfolio and it also increases the conditional betas for the online gambling portfolio. Research limitations/implications This paper serves as a starting point for future research on online gambling stocks. Going forward, studies can focus on the financial performance or accounting performance of online gambling stocks. Originality/value This empirical investigation provides insight into the risk characteristics of publicly listed online gambling companies in the UK.

In this paper, we estimate generalized autoregressive conditional heteroskedasticity (GARCH) and vector autoregressive (VAR) models to examine whether investor sentiment impacts the returns and volatility of various U.S. Dow Jones Islamic equity indices. The results from GARCH estimations show that changes in investor sentiment are positively correlated with the returns of the Shari’ah-compliant market portfolio. In addition, we find similar results for the three Shari’ah-compliant firm-size portfolios (i.e., large-, medium-, and small-cap). However, this relationship is stronger for harder to arbitrage Shari’ah-compliant stocks; that is, investor sentiment has a greater influence on small-cap equities. Additionally, estimations from the vector autoregressive model confirm the aforementioned results. In terms of volatility, GARCH estimations suggest that bullish shifts in investor sentiment in the current period are accompanied by lower conditional volatility in the ensuing period. In general, our findings suggest that as noise traders create more risk the market seems to reward them with higher expected returns.

This paper studies the impact of investor sentiment on a portfolio formed of sin stocks publicly traded companies in the alcohol, tobacco, and gaming industries. Using a variety of sentiments-augmented asset pricing models, this research examines whether investor sentiment is a risk factor for sin stock returns. It also studies if the abnormal returns - found in the literature - for sin stocks persist after controlling for investor sentiment. Furthermore, we utilize a generalized autoregressive conditional heteroscedasticity-in-mean (GARCH) model to study the relationship between investor sentiment and the sin portfolio's conditional volatility. Our findings show that both individual and institutional investor sentiment are priced factors in sin stock returns. Furthermore, after controlling for the role of investor sentiment, the asset-pricing results suggest that the abnormal returns for sin stocks found in previous studies disappear. The results from the GARCH models indicate that investor sentiment has a significant impact on sin stocks' conditional volatility. (C) 2015 The Board of Trustees of the University of Illinois. Published by Elsevier B.V. All rights reserved.

(ProQuest: ... denotes formulae omitted.)L INTRODUCTIONSince the start of the Great Recession, various groups (e.g., Main Street and Wall Street) have relentlessly pressed politicians to jumpstart the or to get the economy out of life support. As a result, both the legislative and executive branches of government signed into law economic policies meant to reactivate the economy (e.g., The Emergency Economic Stabilization Act of 2008, the American Recovery and Reinvestment Act of 2009, and the Dodd-Frank Wall Street Reform and Consumer Protection Act). However, the slow recovery of the U.S. economy has many inside and outside of Washington D.C. wondering if politicians have the power to help ease credit conditions, reduce unemployment, boost investor confidence, and increase asset values. The uncertainty on whether the President and the Democratic party can revive the economy has turned political harmony into political gridlock1 (in 2010 Republicans won control of the House of Representatives), which makes it harder for the President and his party to pass new landmark economic policies. For example, President Obama's American Jobs Act, which proposed to lower the unemployment rate, stalled in the U.S. Senate in October of 2011 largely due to Republican skepticism of the President's economic policies. As a further example, in the summer of 2011, a major credit rating agency (SP Santa-Clara and Valkanov, 2003; Chen et al., 2008; and Ramchander et al., 2009), which only evaluate the impact of political variables on stock market returns and volatility, we also examine the impact of these variables on investor sentiment. To the best of our knowledge there is only one other paper which examines the possible link between political variables and investor sentiment (Kraussl et al., 2009). Their paper, however, uses annual data and utilizes investor sentiment as an additional control variable. It also regresses investor sentiment on the presidential cycle dummies, without accounting for a Democratic or Republican controlled White House.Prior literature finds that stock returns are influenced by investor sentiment (Leroy and Porter, 1981; Shiller, 1981; De Bondt and Thaler, 1985; Lee et al., 1991; Lee et al., 2002; Lee et al., 1991; Brown and Cliff, 2005; Baker and Wurgler, 2007; Ho and Hung, 2009; and Baker et al., 2012). Therefore, it is reasonable to assume that if stock returns are influence by political variables then investor sentiment might also be influenced by political variables.This study contributes to the literature in the following distinct ways. First, we examine whether political variables impact investor sentiment. Second, we assess the impact of political variables on the covariance between the returns of the market portfolio and investor sentiment. Furthermore, we investigate how the covariance between investor sentiment and the returns on ten portfolios constructed by size, and ten portfolios constructed by book-to-market is influenced by political variables; we use these portfolios to test for any differential effects due market capitalization and book-to-market differences. …

Approximately 80 percent of global trade relies on some version of trade finance. This paper seeks to further the understanding of the relationship between trade flows and the availability of trade finance, while accounting for the development of the sample countries’ financial sectors. The model also controlled for additional established variables that significantly influence trade patterns, such as import/export demand and exchange rates. The results indicate that trade finance is a positive correlate with export and import volumes. However, we also find that trade finance becomes even more important in determining trade volumes when countries have a higher level of financial development.

In this paper, we employ econometric techniques to examine the impact of political variables on investor sentiment, stock market returns, and the covariance between investor sentiment and equity returns. Similar to prior studies our results indicate that stock market returns are higher during Democratic presidencies. Contrast we also find that both investor sentiment and the covariance between investor sentiment and stock returns are both higher when Democrats control the White House. Our results seem to suggest that political variables not only influence stock returns, but they also influence the way investors feel about the market.

In this paper, we employ an event study methodology to examine the impact of hurricanes on investor sentiment and stock market returns. Our results show that there is a significant decrease in stock returns on the day hurricanes make landfall and one day prior. Additionally, we observe that not all industries are significantly impacted and that firms with large market capitalization are least impacted by hurricanes. Further, we find a significant increase in investor fear on the day of hurricane landfalls, and a significant decrease in investor sentiment during the week prior to landfalls. These results suggest that hurricanes and the anticipation of these storms have a negative and significant impact on both stock market returns and investor sentiment.

PurposeThe purpose of this paper is to investigate relative portfolio performance between sin stock returns and faith‐based returns.Design/methodology/approachSimilar to Hong and Kacperczyk, Jensen's alpha was utilized to conduct tests along with three asset‐pricing models and rolling regression technique to reveal that faith‐based and sin betas move in opposite directions during most of the sample period.FindingsNorm‐neglect was found, in that Jensen's alpha is positive and significant for the sin portfolio. Further, evidence in favor of norm‐conforming investor behavior was found, where Jensen's alpha is negative and significant for the faith‐based portfolio. These findings provide evidence that the sin portfolio outperforms the faith‐based portfolio relative to the market. A rolling regression technique reveals that faith‐based and sin betas tend to move in opposite directions during most of the sample period. The evidence suggests that faith‐based beta has an average estimated beta of one, mimicking the market. The sin portfolio, however, has an average estimated beta of one‐half. Finally, the reward‐to‐risk measure, Sharpe ratio, is statistically higher for the sin portfolio relative to the faith‐based portfolio.Originality/valueThis paper contributes to the literature in the following distinct ways. First, three asset‐pricing models are estimated to examine Jensen's alpha for sin and faith‐based portfolios. Second, a rolling regression procedure is used to examine the dynamic behavior relative to the market of the sin and faith‐based portfolios. Third, use is made of the Jobson and Korkie test, which allows for statistical comparisons of Sharpe ratios. Lastly, daily instead of monthly data and a different sample period are used to examine the research questions posed in this study.