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Essays On Investor Sentiment, Media, And Trading, Changyun Zhou
Essays On Investor Sentiment, Media, And Trading, Changyun Zhou
Dissertations, Theses, and Capstone Projects
This dissertation consists of three chapters that span investor sentiment, media and trading.
Chapter 1: I introduce a direct cross-border sentiment measure of foreign investors and find such foreign sentiment generates significant economic effects on market-level prices. It predicts significant return reversals in the destination markets both in-sample and out-of-sample. This foreign sentiment is unique and distinct from local sentiments in either origin or destination markets. Instrumental-variable and event-based analyses support a large causal effect of cross-border sentiment with, e.g., a multiplier of 4-5. Capital flows contain an important foreign sentiment component, and a residual component positively predicting returns. …