Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/74658
Authors: 
Singer, Nico
Dreher, Frank
Laser, Saskia
Year of Publication: 
2012
Series/Report no.: 
Thünen-Series of Applied Economic Theory 121
Abstract: 
This paper investigates the role of published stock recommendations in print and online media as investor sentiment in the near-term German stock market. In line with extant literature on other sentiment measures, vector autoregressions reveal that past stock returns drive today's sentiment, but not the other way around, and that sentiment is a powerful predictor of itself. In particular, sentiment based on printed analyst recommendations follows reversals, that is, when analysts face a stock market downturn, they see a buying opportunity and become optimistic.
Subjects: 
analyst forecasts
investor sentiment
media content
VAR analysis
JEL: 
G17
Document Type: 
Working Paper

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