Momentum and disposition effect in the US stock market

This paper examines whether momentum drives the disposition effect and vice versa in the US stock market. The results from the analysis of the Fama-Macbethregressions show that the disposition effect drives momentum but not the other way around. Furthermore, we find that this relationship varies over time. Along with the disposition effect, size also has an impact on the momentum. Therefore, the relationship between momentum and disposition effect is examined based on size deciles, and results demonstrate that the relationship does not vary significantly with the size of stocks. However, both the cumulative returns and capital gain varies monotonically with the size of stocks

Stock market return predictability: Google pessimistic sentiments versus fear gauge

This study aims at comparing Google Search Volume Indices (GSVIs—including market crash and bear market) and VIX (Investor Fear Gauge Index) in terms of explaining the S&P 500 returns. The VIX is found a more robust predictor of stock market returns than Google indices, and it does granger cause the GSVIs more robustly. In addition, in vector auto-regression model, VIX has more prominent effect of its past values on both Google indices. Finally, using the autoregressive distributed lag (ARDL) and nonlinear ARDL models, contrary to prior literature, we find significant symmetric negative relationship between changes in VIX and S&P 500 returns

Do sentiment indices impact the premium of prominent pricing factors?

This study investigates whether Google Search Volume Indices (GSVIs) bring shifts in the expected return of prominent pricing factors in comparison to the Volatility Index (VIX). The results show that compared to VIX, GSVIs bring less significant changes in expected premium on Fama–French’s five-factors and q-factors. Pessimistic sentiment indices (Market Crash and Bear Market) predict more significant variation in the premium of prominent pricing factors than optimistic sentiment indices (Market Rally and Bull Market), and also have a significant correlation with VIX representing downside risk. Furthermore, the sentiment indices are better in predicting premium on five-factors than q-factors