The Validity of Investor Sentiment Proxies
© 2016 International Review of Finance Ltd. Behavioral finance research relies on proxies for unobservable phenomena. Different proxies for the same underlying phenomena should be correlated (formal proof of this proposition is presented in this letter). This letter examines proxies for an unobserva...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Language: | English |
| Published: |
WILEY
2017
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/76322 |
| _version_ | 1848763668148256768 |
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| author | Chan, Felix Durand, Robert Khuu, Joyce Smales, Lee |
| author_facet | Chan, Felix Durand, Robert Khuu, Joyce Smales, Lee |
| author_sort | Chan, Felix |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | © 2016 International Review of Finance Ltd. Behavioral finance research relies on proxies for unobservable phenomena. Different proxies for the same underlying phenomena should be correlated (formal proof of this proposition is presented in this letter). This letter examines proxies for an unobservable variable, sentiment. We utilize a well-known methodology to construct text-based sentiment proxies and compare these with metrics from Baker and Wurgler. We find that they are not correlated. At least one, but perhaps all, of these are not valid proxies of sentiment. |
| first_indexed | 2025-11-14T11:07:07Z |
| format | Journal Article |
| id | curtin-20.500.11937-76322 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T11:07:07Z |
| publishDate | 2017 |
| publisher | WILEY |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-763222019-09-19T06:33:33Z The Validity of Investor Sentiment Proxies Chan, Felix Durand, Robert Khuu, Joyce Smales, Lee Social Sciences Business, Finance Business & Economics STOCK RETURNS MARKET NEWS © 2016 International Review of Finance Ltd. Behavioral finance research relies on proxies for unobservable phenomena. Different proxies for the same underlying phenomena should be correlated (formal proof of this proposition is presented in this letter). This letter examines proxies for an unobservable variable, sentiment. We utilize a well-known methodology to construct text-based sentiment proxies and compare these with metrics from Baker and Wurgler. We find that they are not correlated. At least one, but perhaps all, of these are not valid proxies of sentiment. 2017 Journal Article http://hdl.handle.net/20.500.11937/76322 10.1111/irfi.12102 English WILEY restricted |
| spellingShingle | Social Sciences Business, Finance Business & Economics STOCK RETURNS MARKET NEWS Chan, Felix Durand, Robert Khuu, Joyce Smales, Lee The Validity of Investor Sentiment Proxies |
| title | The Validity of Investor Sentiment Proxies |
| title_full | The Validity of Investor Sentiment Proxies |
| title_fullStr | The Validity of Investor Sentiment Proxies |
| title_full_unstemmed | The Validity of Investor Sentiment Proxies |
| title_short | The Validity of Investor Sentiment Proxies |
| title_sort | validity of investor sentiment proxies |
| topic | Social Sciences Business, Finance Business & Economics STOCK RETURNS MARKET NEWS |
| url | http://hdl.handle.net/20.500.11937/76322 |