Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
This paper contributes to the understanding of the non-linear causal linkage between investors’ sentiment dynamics and stock returns for the US economy. Employing the sentiment index developed by Baker and Wurgler [Baker, M., Wurgler, J., 2007. Investor sentiment in the stock market. Journal of Economic Perspectives 21 (2), 129–151] and within a non-linear causality framework, we found that sentiment embodies significant predictive power with respect to stock returns.