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Full-Text Articles in Social and Behavioral Sciences
Return Predictability In International Financial Markets And The Role Of Investor Sentiment, Anjeza Kadilli
Return Predictability In International Financial Markets And The Role Of Investor Sentiment, Anjeza Kadilli
Anjeza Kadilli
We investigate the predictability of stock returns in the financial market for a large panel of developed countries using investor sentiment, business-cycle variables and financial indicators within two panel regime-switching models, with threshold and smooth transition between regimes. We find strong evidence of predictability of long-term returns following the business cycles, but much weaker results for the short-run returns. During crisis times, investor sentiment and inflation become key factors in predicting stock returns. Different tests and goodness of fit measures point out that the use of regime-switching models is more appropriate than linear models. To our knowledge, this study is …
A Panel Smooth Transition Regression Model For The Determinants Of Inflation Expectations And Credibility In The Ecb And The Recent Financial Crisis, Anjeza Kadilli
Anjeza Kadilli
No abstract provided.