Allen, A.C. and Cho, J.Y., 1999. Determinants of price-earnings ratios: Further evidence. The
Southern Business and Economic Journal, 22(3), pp.170-184.
Ambrose, B.W., Lee, D.W. and Peek, J., 2007. Comovement after joining an index: spillovers of
nonfundamental effects. Real Estate Economics, 35(1), pp.57-90.
Anderson, K. and Brooks, C., 2006. The Long‐Term Price‐Earnings Ratio. Journal of Business
Finance & Accounting, 33(7‐8), pp.1063-1086.
Arnott, R.D. and Asness, C.S., 2003. Surprise! Higher dividends= higher earnings
growth. Financial Analysts Journal, 59(1), pp.70-87.
Baker, M. and Stein, J.C., 2004. Market liquidity as a sentiment indicator. Journal of Financial
Markets, 7(3), pp.271-299.
Baker, M. and Wurgler, J., 2000. The equity share in new issues and aggregate stock returns. The
Journal of Finance, 55(5), pp.2219-2257.
Baker, M. and Wurgler, J., 2006. Investor sentiment and the cross‐section of stock returns. The
Journal of Finance, 61(4), pp.1645-1680.
Barber, B.M., 1994. Noise trader risk, odd-lot trading, and security returns.
Barberis, N. and Shleifer, A., 2003. Style investing. Journal of financial Economics, 68(2),
pp.161-199.
Basu, S., 1977. Investment performance of common stocks in relation to their price‐earnings ratios:
A test of the efficient market hypothesis. The journal of Finance, 32(3), pp.663-682.
Brown, G.W., 1999. Volatility, sentiment, and noise traders. Financial Analysts Journal, 55(2),
pp.82-90.
Brown, G.W. and Cliff, M.T., 2004. Investor sentiment and the near-term stock market. Journal
of Empirical Finance, 11(1), pp.1-27.
Brown, G.W. and Cliff, M.T., 2005. Investor sentiment and asset valuation. The Journal of
Business, 78(2), pp.405-440.
Brown, D.K., Deardorff, A.V. and Stern, R.M., 2003. Multilateral, Regional and Bilateral Trade‐
Policy Options for the United States and Japan. The World Economy, 26(6), pp.803-828.
Chen, J.H. and Diaz, J.F., 2012. Spillover and leverage effects of faith-based exchange-traded
funds. Journal of Business Policy and Research, 7(2), pp.1-12.
Chen, J.H. and Huang, C.Y., 2010. An analysis of the spillover effects of exchange-traded
funds. Applied Economics, 42(9), pp.1155-1168.
Chen, J. and Malinda, M., 2014. The Study of the Spillover and Leverage Effects of Financial
Exchange Traded Funds (ETFs). Frontiers in Finance and Economics, Vol 11 No 2, pp. 41-
59, 2014.
Chen, N.F., Kan, R. and Miller, M.H., 1993. Are the Discounts on Closed‐End Funds a Sentiment
Index?. The Journal of Finance, 48(2), pp.795-800.
Chen, D., Jian, M. and Xu, M. (2009), Dividends for tunneling in a regulated economy: The case
of China. Pacific-Basin Finance Journal, 17(2), pp.209-223.
Chiang, T.C., Chen, C.W., 2016. "Empirical analysis of dynamic linkages between China and
international stock markets." Journal of Mathematical Finance, 6(01), p.189.
Chui, A.C., Titman, S. and Wei, K.J., 2010. Individualism and momentum around the world. The
Journal of Finance, 65(1), pp.361-392.
Clarke, R.G. and Statman, M., 1998. Bullish or bearish? Financial Analysts Journal, 54(3), pp.63-
72.
Cutler, D.M., Poterba, J.M. and Summers, L.H., 1991. Speculative dynamics. The Review of
Economic Studies, 58(3), pp.529-546.
Da, Z., Engelberg, J. and Gao, P., 2015. The sum of all fears investor sentiment and asset
prices. Review of Financial Studies, 28(1), pp.1-32.
Doidge, C., Karolyi, G.A. and Stulz, R.M., 2004. Why are foreign firms listed in the US worth
more?. Journal of financial economics, 71(2), pp.205-238.
Dreman, D.N., 1977. Psychology and the Stock Market: Investment Strategy Beyond Random
Walk. Amacom.
Elton, E.J., Gruber, M.J. and Busse, J.A., 1998. Do Investors Care about Sentiment?*. The Journal
of Business, 71(4), pp.477-500.
Fernandes, N. and Ferreira, M.A., 2008. Does international cross-listing improve the information
environment. Journal of Financial Economics, 88(2), pp.216-244.
Fisher, K.L. and Statman, M. (2000), Cognitive biases in market forecasts. The Journal of Portfolio
Management, 27(1), pp.72-81.
Froot, K.A., O’connell, P.G. and Seasholes, M.S., 2001. The portfolio flows of international
investors. Journal of Financial Economics, 59(2), pp.151-193.
Fuerst, O., 1998. A theoretical analysis of the investor protection regulations argument for global
listing of stocks. Available at SSRN 139599.
Fuller, R.J., Huberts, L.C. and Levinson, M.J., 1993. Returns to E/P strategies, higgledy-piggledy
growth, analysts'' forecast errors, and omitted risk factors. The Journal of Portfolio
Management, 19(2), pp.13-24.
Graham, B., 1949. The Intelligent Investor, Collins, New York, NY.
Greenwood, R. and Shleifer, A., 2014. Expectations of returns and expected returns. Review of
Financial Studies, 27(3), pp.714-746.
Grinblatt, M. and Keloharju, M., 2000. The investment behavior and performance of various
investor types: a study of Finland''s unique data set. Journal of financial economics, 55(1),
pp.43-67.
Grossmann, Axel, Teofilo Ozuna, and Marc W. Simpson, 2007. "ADR mispricing: Do costly
arbitrage and consumer sentiment explain the price deviation?." Journal of International
Financial Markets, Institutions and Money, 17(4), pp.361-371.
Haugen, R.A. and Baker, N.L., 1996. Commonality in the determinants of expected stock
returns. Journal of Financial Economics, 41(3), pp.401-439.
Kane, A., Marcus, A.J. and Noh, J., 1996. The P/E multiple and market volatility. Financial
Analysts Journal, pp.16-24.
Karavias, Y., Spilioti, S. and Tzavalis, E., 2016. A comparison of investors’ sentiments and risk
premium effects on valuing shares. Finance Research Letters, 17, pp.1-6.
Kearney, C. and Liu, S., 2014. Textual sentiment in finance: A survey of methods and
models. International Review of Financial Analysis, 33, pp.171-185.
Kling, G. and Gao, L., 2008. Corporate governance and tunneling: Empirical evidence from
China. Pacific-Basin Finance Journal, 16(5), pp.591-605.
Koenker, R. and Bassett Jr, G., 1978. Regression quantiles. Econometrica: journal of the
Econometric Society, pp.33-50.
La Porta, R., Lopez-de-Silanes, F., Shleifer, A. and Vishny, R., 2000. Investor protection and
corporate governance. Journal of financial economics, 58(1), pp.3-27.
Lakonishok, J., Shleifer, A. and Vishny, R.W., 1994. Contrarian investment, extrapolation, and
risk. The journal of finance, 49(5), pp.1541-1578.
Lam, K.C., Sami, H. and Zhou, H., 2012. The role of cross-listing, foreign ownership and state
ownership in dividend policy in an emerging market. China Journal of Accounting
Research, 5(3), pp.199-216.
Lang, M.H., Lins, K.V. and Miller, D.P., 2003. ADRs, analysts, and accuracy: Does cross listing
in the United States improve a firm''s information environment and increase market
value?. Journal of Accounting Research, 41(2), pp.317-345.
Lee, C., Shleifer, A. and Thaler, R.H., 1991. Investor sentiment and the closed‐end fund
puzzle. The Journal of Finance, 46(1), pp.75-109.
Lemmon, M. and Portniaguina, E., 2006. Consumer confidence and asset prices: Some empirical
evidence. Review of Financial Studies, 19(4), pp.1499-1529.
Neal, R. and Wheatley, S.M., 1998. Do measures of investor sentiment predict returns?. Journal
of Financial and Quantitative Analysis, 33(04), pp.523-547.
Ni, Z.X., Wang, D.Z. and Xue, W.J., 2015. Investor sentiment and its nonlinear effect on stock
returns—New evidence from the Chinese stock market based on panel quantile regression
model. Economic Modelling, 50, pp.266-274.
Nicholson, S.F., 1960. Price-earnings ratios. Financial Analysts Journal, pp.43-45.
Otoo, M.W., 1999. Consumer sentiment and the stock market. Divisions of Research & Statistics
and Monetary Affairs, Federal Reserve Board.
Lynch, P. and Rothchild, J., 2000. One up on Wall Street: how to use what you already know to
make money in the market. Simon and Schuster, New York, NY.
Qiu, L. and Welch, I., 2004. Investor sentiment measures (No. w10794). National Bureau of
Economic Research.
Ritter, J.R., 1991. The long‐run performance of initial public offerings. The journal of
finance, 46(1), pp.3-27.
Sami, H. and Zhou, H., 2004. A comparison of value relevance of accounting information in
different segments of the Chinese stock market. The International Journal of
Accounting, 39(4), pp.403-427.
Schmeling, M., 2009. Investor sentiment and stock returns: Some international evidence. Journal
of Empirical Finance, 16(3), pp.394-408
Simon, D.P. and Wiggins III, R.A., 1999. Stock returns and sentiment indicators. Working Paper,
Bentley College.
Smirnova, E., 2004. Impact of cross-listing on local stock returns: Case of Russian ADRs. William
Davidson Institute (WDI) - Working Papers
Stigler, George J., 1964. Public regulation of the securities markets. Journal of Business 37, 117–
142.
Sun, L., Najand, M. and Shen, J., 2016. Stock return predictability and investor sentiment: A highfrequency
perspective. Journal of Banking & Finance, 73, pp.147-164.
Swaminathan, B., 1996. Time-varying expected small firm returns and closed-end fund discounts.
Review of Financial Studies, 9(3), pp.845-887.
Yang, C. and Gao, B., 2014. The term structure of sentiment effect in stock index futures
market. The North American Journal of Economics and Finance, 30, pp.171-182.
Yao, S. and Luo, D., 2009. The economic psychology of stock market bubbles in China. The World
Economy, 32(5), pp.667-691.
Zhou, P. and Ruland, W., 2006. Dividend payout and future earnings growth. Financial Analysts
Journal, 62(3), pp.58-69.
Zweig, M.E., 1973. An investor expectations stock price predictive model using closed‐end fund
premiums. The Journal of Finance, 28(1), pp.67-78.