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The relationship between market sentiment and equity premium: an artificial neural network analysis

The relationship between market sentiment and equity premium: an artificial neural network analysis This study explores whether market sentiment is significantly related to equity premium levels using the Artificial Neural Network (ANN) framework with both the Conference Board CCI and the Michigan Consumer Sentiment Index (CSI) as market sentiment proxies. Contrary to several studies, our results showed that after controlling for a standard set of fundamental variables, there is little evidence to support a strong direct relationship between market sentiment and equity premium. However, these results agree with other empirical studies that find market sentiment to be a reflection of market fundamentals, which in turn actually affect equity premium levels. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png International Journal of Electronic Finance Inderscience Publishers

The relationship between market sentiment and equity premium: an artificial neural network analysis

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Publisher
Inderscience Publishers
Copyright
Copyright © Inderscience Enterprises Ltd. All rights reserved
ISSN
1746-0069
eISSN
1746-0077
DOI
10.1504/IJEF.2008.017542
Publisher site
See Article on Publisher Site

Abstract

This study explores whether market sentiment is significantly related to equity premium levels using the Artificial Neural Network (ANN) framework with both the Conference Board CCI and the Michigan Consumer Sentiment Index (CSI) as market sentiment proxies. Contrary to several studies, our results showed that after controlling for a standard set of fundamental variables, there is little evidence to support a strong direct relationship between market sentiment and equity premium. However, these results agree with other empirical studies that find market sentiment to be a reflection of market fundamentals, which in turn actually affect equity premium levels.

Journal

International Journal of Electronic FinanceInderscience Publishers

Published: Jan 1, 2008

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