The Validity of Investor Sentiment Proxies

Felix Chan; Robert B. Durand; Joyce Khuu; Lee A. Smales

doi:10.1111/irfi.12102

The Validity of Investor Sentiment Proxies

Felix Chan, Robert B. Durand, Joyce Khuu, Lee A. Smales

Research output: Contribution to journal › Article

5 Citations (Scopus)

Abstract

Behavioral finance research relies on proxies for unobservable phenomena. Different proxies for the same underlying phenomena should be correlated (formal proof of this proposition is presented in this letter). This letter exam- ines proxies for an unobservable variable, sentiment. We utilize a well- known methodology to construct text-based sentiment proxies and compare these with metrics from Baker and Wurgler. We find that they are not corre- lated. At least one, but perhaps all, of these are not valid proxies of sentiment.

Original language	English
Pages (from-to)	473-477
Number of pages	5
Journal	International Review of Finance
Volume	17
Issue number	3
DOIs	https://doi.org/10.1111/irfi.12102
Publication status	Published - 1 Sep 2017
Externally published	Yes

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10.1111/irfi.12102

http://www.mendeley.com/research/validity-investor-sentiment-proxies

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Chan, F., Durand, R. B., Khuu, J., & Smales, L. A. (2017). The Validity of Investor Sentiment Proxies. International Review of Finance, 17(3), 473-477. https://doi.org/10.1111/irfi.12102

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