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Investor sentiment and volatility timing: evidence from European markets
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Resumo(s)
The purpose of this study is to analyze the performance and dynamics of several investment
strategies. The individual part focuses on exploring the profitability of a cross-sectional long only trading strategy that explores return differences between sentiment-prone and sentiment insensitive stocks, using the VSTOXX as a sentiment indicator for the European stock market.
The strategy consists of holding sentiment-prone stocks when the sentiment is good and sentiment insensitive stocks when sentiment is bad. In the group part, several strategies were combined to
form three portfolios: Equal-Weighted, Tangency and Global Minimum Variance. The group report
is presented first, followed by the individual contribution.
Descrição
Palavras-chave
Financial markets Quantitative investment strategy Investor sentiment Volatility timing European stock market