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- Title
Higher-order Moments and Investor Sentiment (Alles' Model Revisited).
- Authors
FRUGIER, ALAIN
- Abstract
In this study, we propose an analysis of the reasons why the distribution of stock returns is usually leptokurtic and asymmetrical. We use an extended and revisited version of Alles' model to simulate the impact of information shocks on the distribution of returns. We highlight that higher order moments vary according to the characteristics of information shocks. Actually, these characteristics reflect investor psychology, so we consider that skewness and kurtosis can be seen as sentiment indicators. An empirical study then shows that skewness and kurtosis are not correlated with usual sentiment indicators and can therefore improve sentiment indicators measurement by taking into account psychological components other than optimism or pessimism.
- Subjects
INVESTORS; KURTOSIS; PESSIMISM; PSYCHOLOGY; OPTIMISM
- Publication
Quarterly Journal of Finance & Accounting, 2014, Vol 51, Issue 3/4, p45
- ISSN
1939-8123
- Publication type
Article
- DOI
10.2307/qjfinacct.51.3-4.45