The Role of Momentum, Sentiment, and Economic Fundamentals in Forecasting Bear Stock Market | Publication

Title	The Role of Momentum, Sentiment, and Economic Fundamentals in Forecasting Bear Stock Market
Creator	羅秉政 KendroVincent Chen, Yi-ting
Contributor	金融系
Date	2016-01
Date Issued	6-Jul-2022 09:59:51 (UTC+8)
Summary	This article examines the role of market momentum, investor sentiment, and economic fundamentals in forecasting bear stock market. We find strong evidence that bear stock market is predictable by market momentum and investor sentiment in full-sample and out-of-sample analyses. Most economic fundamental variables lose their out-of-sample significance once we control for market momentum and investor sentiment. However, the inclusion of economic fundamentals can improve the economic value of the forecasting model in our trading experiments.
Relation	Journal of Forecasting, Vol.35, No.6, pp.504-527
Type	article
DOI	https://doi.org/10.1002/for.2392

dc.contributor	金融系
dc.creator (作者)	羅秉政
dc.creator (作者)	KendroVincent
dc.creator (作者)	Chen, Yi-ting
dc.date (日期)	2016-01
dc.date.accessioned	6-Jul-2022 09:59:51 (UTC+8)	-
dc.date.available	6-Jul-2022 09:59:51 (UTC+8)	-
dc.date.issued (上傳時間)	6-Jul-2022 09:59:51 (UTC+8)	-
dc.identifier.uri (URI)	http://nccur.lib.nccu.edu.tw/handle/140.119/140797	-
dc.description.abstract (摘要)	This article examines the role of market momentum, investor sentiment, and economic fundamentals in forecasting bear stock market. We find strong evidence that bear stock market is predictable by market momentum and investor sentiment in full-sample and out-of-sample analyses. Most economic fundamental variables lose their out-of-sample significance once we control for market momentum and investor sentiment. However, the inclusion of economic fundamentals can improve the economic value of the forecasting model in our trading experiments.
dc.format.extent	96 bytes	-
dc.format.mimetype	text/html	-
dc.relation (關聯)	Journal of Forecasting, Vol.35, No.6, pp.504-527
dc.title (題名)	The Role of Momentum, Sentiment, and Economic Fundamentals in Forecasting Bear Stock Market
dc.type (資料類型)	article
dc.identifier.doi (DOI)	10.1002/for.2392
dc.doi.uri (DOI)	https://doi.org/10.1002/for.2392