Discuss the impact of investor sentiment on stock returns conditional on economic conditions.

FoMLSS Accounting, Finance and Economics

AFE6014-B: Empirical Methods in Accounting and Finance

TYPE OF ASSESSMENT: Individual Assessed Coursework

(3,000 words maximum excluding tables, figures, and references).

Under the revised assessment requirements due to COVID-19, this module will be assessed via a written assessed coursework.This is an individual assignment containing seven different requirements.Along with the main report,you also need to submit the original dataset and screenshots of results from SPSS or EViews.

Required to:
Discuss the rationale behind the cross-sectional impact of investor sentiment on stock returns.
Discuss the impact of investor sentiment on stock returns conditional on economic conditions.
Suppose that you decide to extend the evidence on the impact of investor sentiment on stock returns to one emerging market.Select a market and motivate your selection.
Critically review related literature and evaluate survey-based investor sentiment proxies and market-based investor sentiment proxies.
Find two proxies for investor sentiment in your selected market, and elaborate motivation for your selection.
Present descriptive statistics of (i) market returns of the selected market and (ii) investor sentiment.
Examine (i) the impact of investor sentiment on stock market returns, and (ii) the impact of investor sentiment on stock market returns conditional on economic conditions. Discuss potential limitations of your work.