This paper tests the widely held proposition that investor sentiment contributed to the stock market crash of 1987. Using weekly data during the 1986-8 period and conventional measures of stock fundamentals, changes in fundamentals are found to have a statistically significant influence on the movem
β¦ LIBER β¦
Beyond Fundamentals: Investor Sentiment and Exchange Rate Forecasting
β Scribed by Sebastian Heiden; Christian Klein; Bernhard Zwergel
- Book ID
- 111059310
- Publisher
- John Wiley and Sons
- Year
- 2011
- Tongue
- English
- Weight
- 401 KB
- Volume
- aop
- Category
- Article
- ISSN
- 1354-7798
No coin nor oath required. For personal study only.
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## Abstract This paper employs a nonβparametric method to forecast highβfrequency Canadian/US dollar exchange rate. The introduction of a microstructure variable, order flow, substantially improves the predictive power of both linear and nonβlinear models. The nonβlinear models outperform random wa