u et al. (2009),[9] trading volume is a good proxy for investor sentiment.

High
(low) trading volume on a particular stock leads to appreciating (depreciating) of
its price. Extreme one-day returns are also reported to draw investors’ attention
(Barber & Odean (2008)[10]). Noise traders tend to buy (sell) stocks with high
(low) returns. Whaley (2001)[11] and Baker & Wurgler (2007)[7] suggest Chicago
Board Options Exchange (CBOE) Volatility Index (VIX) as an alternative market
sentiment measure. Credit Suisse Fear Barometer (CSFB) is based on prices of zero-
premium collars that expire in three months. This index is sometimes used as an
alternative to VIX index.[12] The Acertus Market Sentiment Indicator (AMSI)
incorporates five variables (in descending order of weight in the indicator):
Price/Earnings Ratio (a measure of stock market valuations); price momentum (a
measure of market psychology); Realized Volatility (a measure of recent historical
risk); High Yield Bond Returns (a measure of credit risk); and the TED spread (a
measure of systemic financial risk). Each of these factors provides a measure of
market sentiment through au et al. (2009),[9] trading volume is a good proxy for
investor sentiment. High (low) trading volume on a particular stock leads to
appreciating (depreciating) of its price. Extreme one-day returns are also reported
to draw investors’ attention (Barber & Odean (2008)[10]). Noise traders tend to buy
(sell) stocks with high (low) returns. Whaley (2001)[11] and Baker & Wurgler (2007)
[7] suggest Chicago Board Options Exchange (CBOE) Volatility Index (VIX) as an
alternative market sentiment measure. Credit Suisse Fear Barometer (CSFB) is based
on prices of zero-premium collars that expire in three months. This index is
sometimes used as an alternative to VIX index.[12] The Acertus Market Sentiment
Indicator (AMSI) incorporates five variables (in descending order of weight in the
indicator): Price/Earnings Ratio (a measure of stock market valuations); price
momentum (a measure of market psychology); Realized Volatility (a measure of recent
historical risk); High Yield Bond Returns (a measure of credit risk); and the TED
spread (a measure of systemic financial risk). Each of these factors provides a
measure of market sentimentu et al. (2009),[9] trading volume is a good proxy for
investor sentiment. High (low) trading volume on a particular stock leads to
appreciating (depreciating) of its price. Extreme one-day returns are also reported
to draw investors’ attention (Barber & Odean (2008)[10]). Noise traders tend to buy
(sell) stocks with high (low) returns. Whaley (2001)[11] and Baker & Wurgler (2007)
[7] suggest Chicago Board Options Exchange (CBOE) Volatility Index (VIX) as an
alternative market sentiment measure. Credit Suisse Fear Barometer (CSFB) is based
on prices of zero-premium collars that expire in three months. This index is
sometimes used as an alternative to VIX index.[12] The Acertus Market Sentiment
Indicator (AMSI) incorporates five variables (in descending order of weight in the
indicator): Price/Earnings Ratio (a measure of stock market valuations); price
momentum (a measure of market psychology); Realized Volatility (a measure of recent
historical risk); High Yield Bond Returns (a measure of credit risk); and the TED
spread (a measure of systemic financial risk). Each of these factors provides a
measure of market sentiu et al. (2009),[9] trading volume is a good proxy for
investor sentiment. High (low) trading volume on a particular stock leads to
appreciating (depreciating) of its price. Extreme one-day returns are also reported
to draw investors’ attention (Barber & Odean (2008)[10]). Noise traders tend to buy
(sell) stocks with high (low) returns. Whaley (2001)[11] and Baker & Wurgler (2007)
[7] suggest Chicago Board Options Exchange (CBOE) Volatility Index (VIX) as an
alternative market sentiment measure. Credit Suisse Fear Barometer (CSFB) is based
on prices of zero-premium collars that expire in three months. This index is
sometimes used as an alternative to VIX index.[12] The Acertus Market Sentiment
Indicator (AMSI) incorporates five variables (in descending order of weight in the
indicator): Price/Earnings Ratio (a measure of stock market valuations); price
momentum (a measure of market psychology); Realized Volatility (a measure of recent
historical risk); High Yield Bond Returns (a measure of credit risk); and the TED
spread (a measure of systemic financial risk). Each of these factors provides a
measure of market sentu et al. (2009),[9] trading volume is a good proxy for
investor sentiment. High (low) trading volume on a particular stock leads to
appreciating (depreciating) of its price. Extreme one-day returns are also reported
to draw investors’ attention (Barber & Odean (2008)[10]). Noise traders tend to buy
(sell) stocks with high (low) returns. Whaley (2001)[11] and Baker & Wurgler (2007)
[7] suggest Chicago Board Options Exchange (CBOE) Volatility Index (VIX) as an
alternative market sentiment measure. Credit Suisse Fear Barometer (CSFB) is based
on prices of zero-premium collars that expire in three months. This index is
sometimes used as an alternative to VIX index.[12] The Acertus Market Sentiment
Indicator (AMSI) incorporates five variables (in descending order of weight in the
indicator): Price/Earnings Ratio (a measure of stock market valuations); price
momentum (a measure of market psychology); Realized Volatility (a measure of recent
historical risk); High Yield Bond Returns (a measure of credit risk); and the TED
spread (a measure of systemic financial risk). Each of these factors provides a
measure of market senu et al. (2009),[9] trading volume is a good proxy for
investor sentiment. High (low) trading volume on a particular stock leads to
appreciating (depreciating) of its price. Extreme one-day returns are also reported
to draw investors’ attention (Barber & Odean (2008)[10]). Noise traders tend to buy
(sell) stocks with high (low) returns. Whaley (2001)[11] and Baker & Wurgler (2007)
[7] suggest Chicago Board Options Exchange (CBOE) Volatility Index (VIX) as an
alternative market sentiment measure. Credit Suisse Fear Barometer (CSFB) is based
on prices of zero-premium collars that expire in three months. This index is
sometimes used as an alternative to VIX index.[12] The Acertus Market Sentiment
Indicator (AMSI) incorporates five variables (in descending order of weight in the
indicator): Price/Earnings Ratio (a measure of stock market valuations); price
momentum (a measure of market psychology); Realized Volatility (a measure of recent
historical risk); High Yield Bond Returns (a measure of credit risk); and the TED
spread (a measure of systemic financial risk). Each of these factors provides a
measure of market seu et al. (2009),[9] trading volume is a good proxy for investor
sentiment. High (low) trading volume on a particular stock leads to appreciating
(depreciating) of its price. Extreme one-day returns are also reported to draw
investors’ attention (Barber & Odean (2008)[10]). Noise traders tend to buy (sell)
stocks with high (low) returns. Whaley (2001)[11] and Baker & Wurgler (2007)[7]
suggest Chicago Board Options Exchange (CBOE) Volatility Index (VIX) as an
alternative market sentiment measure. Credit Suisse Fear Barometer (CSFB) is based
on prices of zero-premium collars that expire in three months. This index is
sometimes used as an alternative to VIX index.[12] The Acertus Market Sentiment
Indicator (AMSI) incorporates five variables (in descending order of weight in the
indicator): Price/Earnings Ratio (a measure of stock market valuations); price
momentum (a measure of market psychology); Realized Volatility (a measure of recent
historical risk); High Yield Bond Returns (a measure of credit risk); and the TED
spread (a measure of systemic financial risk). Each of these factors provides a
measure of market seu et al. (2009),[9] trading volume is a good proxy for investor
sentiment. High (low) trading volume on a particular stock leads to appreciating
(depreciating) of its price. Extreme one-day returns are also reported to draw
investors’ attention (Barber & Odean (2008)[10]). Noise traders tend to buy (sell)
stocks with high (low) returns. Whaley (2001)[11] and Baker & Wurgler (2007)[7]
suggest Chicago Board Options Exchange (CBOE) Volatility Index (VIX) as an
alternative market sentiment measure. Credit Suisse Fear Barometer (CSFB) is based
on prices of zero-premium collars that expire in three months. This index is
sometimes used as an alternative to VIX index.[12] The Acertus Market Sentiment
Indicator (AMSI) incorporates five variables (in descending order of weight in the
indicator): Price/Earnings Ratio (a measure of stock market valuations); price
momentum (a measure of market psychology); Realized Volatility (a measure of recent
historical risk); High Yield Bond Returns (a measure of credit risk); and the TED
spread (a measure of systemic financial risk). Each of these factors provides a
measure of market sentu et al. (2009),[9] trading volume is a good proxy for
investor sentiment. High (low) trading volume on a particular stock leads to
appreciating (depreciatu et al. (2009),[9] trading volume is a good proxy for
investor sentiment. High (low) trading volume on a particular stock leads to
appreciating (depreciating) of its price. Extreme one-day returns are also reported
to draw investors’ attention (Barber & Odean (2008)[10]). Noise traders tend to buy
(sell) stocks with high (low) returns. Whaley (2001)[11] and Baker & Wurgler (2007)
[7] suggest Chicago Board Options Exchange (CBOE) Volatility Index (VIX) as an
alternative market sentiment measure. Credit Suisse Fear Barometer (CSFB) is based
on prices of zero-premium collars that expire in three months. This index is
sometimes used as an alternative to VIX index.[12] The
Acertus Market Sentiment Indicator (AMSI) incorporates five variables (in
descending order of weight in the indicator): Price/Earnings Ratio (a measure of
stock market valuations); price momentum (a measure of market psychology); Realized
Volatility (a measure of recent historical risk); High Yield Bond Returns (a
measure of credit risk); and the TED spread (a measure of systemic financial risk).
Each of these factors provides a measure of market sentiment through a unique lens,
and together they may offer a more ring) of its price. Extreme one-day returns are
also reported to draw investors’ attention (Barber & Odean (2008)[10]). Noise
traders tend to buy (sell) stocks with high (low) returns. Whaley (2001)[11] and
Baker & Wurgler (2007)[7] suggest Chicago Board Options Exchange (CBOE) Volatility
Index (VIX) as an alternative market sentiment measure. Credit Suisse Fear
Barometer (CSFB) is based on prices of zero-premium collars that expire in three
months. This index is sometimes used as an alternative to VIX index.[12] The
Acertus Market Sentiment Indicator (AMSI) incorporates five variables (in
descending order of weight in the indicator): Price/Earnings Ratio (a measure of
stock market valuations); price momentum (a measure of market psychology); Realized
Volatility (a measure of recent historical risk); High Yield Bond Returns (a
measure of credit risk); and the TED spread (a measure of systemic financial risk).
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