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Investor Sentiment (investor + sentiment)

Distribution by Scientific Domains

Business, Economics, Finance and Accounting	100%

Selected Abstracts

Retail Investor Sentiment and Return Comovements

THE JOURNAL OF FINANCE, Issue 5 2006
ALOK KUMAR
ABSTRACT Using a database of more than 1.85 million retail investor transactions over 1991,1996, we show that these trades are systematically correlated,that is, individuals buy (or sell) stocks in concert. Moreover, consistent with noise trader models, we find that systematic retail trading explains return comovements for stocks with high retail concentration (i.e., small-cap, value, lower institutional ownership, and lower-priced stocks), especially if these stocks are also costly to arbitrage. Macroeconomic news and analyst earnings forecast revisions do not explain these results. Collectively, our findings support a role for investor sentiment in the formation of returns. [source]

Investor Sentiment and Return Predictability in Agricultural Futures Markets

THE JOURNAL OF FUTURES MARKETS, Issue 10 2001
Changyun Wang
This study examines the usefulness of trader-position-based sentiment index for forecasting future prices in six major agricultural futures markets. It has been found that large speculator sentiment forecasts price continuations. In contrast, large hedger sentiment predicts price reversals. Small trader sentiment hardly forecasts future market movements. An investigation was performed into various sentiment-based timing strategies, and it was found that the combination of extreme large trader sentiments provides the strongest timing signal. These results are generally consistent with the hedging-pressure theory, suggesting that hedgers pay risk premiums to transfer nonmarketable risks in futures markets. Moreover, it does not appear that large speculators in the futures markets possess any superior forecasting ability. © 2001 John Wiley & Sons, Inc. Jrl Fut Mark 21:929,952, 2001 [source]

Switching Between the Banking and Metals and Mining Sectors of Australia,

INTERNATIONAL REVIEW OF FINANCE, Issue 4 2009
Tariq Haque
ABSTRACT Using the Australian banking and metals and mining industries as the categories in the Barberis and Shleifer model, this study demonstrates switching in the Australian stock market. Switching occurs when investors move into an industry by selling off stocks of an alternate industry, thus causing negative lagged cross-correlation between those industries. Our results, based on daily returns, suggest that category-level investor sentiment may drive observed switching patterns in the Australian stock market and not fundamental risk factors. Our results also show that switching does not necessarily only occur between value and growth stocks or large-cap and small-cap stocks. [source]

Post-IPO Operating Performance, Venture Capital and the Bubble Years

JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 9-10 2007
Jerry Coakley
Abstract:, We analyse the post-issue operating performance of 316 venture-backed and 274 non-venture UK IPOs 1985,2003. The finding of a statistically significant five-year, operational decline exhibited over the full sample period is not robust. Rather it is driven by the dramatic underperformance during the 1998,2000 bubble years while IPOs perform normally in the remaining years. Cross-section regression results indicate support for venture capital certification in the non-bubble years but a significantly negative relationship between operating performance and venture capitalist board representation during the bubble years. The bubble year underperformance is explained by market timing and by low quality companies taking advantage of investor sentiment. [source]

Comovement After Joining an Index: Spillovers of Nonfundamental Effects

REAL ESTATE ECONOMICS, Issue 1 2007
Brent W. Ambrose
This study considers the case of two overlapping categories in the context of recent category models. Specifically, we examine whether investor sentiment and market frictions specific to one category can affect the returns on assets belonging to the other category. With recent additions of several real estate investment trusts (REITs) into general stock market indices as a natural experiment, we find support for spillovers of such nonfundamental effects, as evidenced by the increased return correlation between REITs that remain outside the index and the index stocks. Further analysis reveals that market frictions play a greater role than investor sentiment. [source]

Retail Investor Sentiment and Return Comovements

Hedge Funds and the Technology Bubble

THE JOURNAL OF FINANCE, Issue 5 2004
MARKUS K. BRUNNERMEIER
ABSTRACT This paper documents that hedge funds did not exert a correcting force on stock prices during the technology bubble. Instead, they were heavily invested in technology stocks. This does not seem to be the result of unawareness of the bubble: Hedge funds captured the upturn, but, by reducing their positions in stocks that were about to decline, avoided much of the downturn. Our findings question the efficient markets notion that rational speculators always stabilize prices. They are consistent with models in which rational investors may prefer to ride bubbles because of predictable investor sentiment and limits to arbitrage. [source]

Explaining Stock Market Correlation: A Gravity Model Approach

THE MANCHESTER SCHOOL, Issue S1 2002
Thomas J Flavin
A gravity model, frequently used to explain trade patterns, is used to explain stock market correlations. The main result of the trade literature is that geography matters for goods markets. Physical location and trading costs should be less of an issue in asset markets. However, we find that geographical variables still matter when examining equity market linkages. In particular, the number of overlapping opening hours and sharing a common border tends to increase cross,country stock market correlation. These results may stem from asymmetrical information and investor sentiment, lending some empirical support for these explanations of the international diversification puzzle. [source]

Liquidity Commonality and its Causes: Evidence from the Korean Stock Market,

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 5 2010
Hyuk Choe
G11; G14; G18 Abstract This paper investigates the causes of liquidity commonality. We consider information asymmetry, volatility, utilitarian trading interest, style-based trading, inventory cost, and investor sentiment as potential candidates. Our empirical analysis shows that greater information asymmetry causes higher liquidity commonality. The significant effect of the order imbalance beta supports our volatility hypothesis as a cause of liquidity commonality. Program trading and the KOSPI200 index dummy are positively related to liquidity commonality, which is consistent with the style-based trading hypothesis. Higher individual trading is associated with higher liquidity commonality, which means that investor sentiment operates in the Korean market. However, volume beta and return beta, as proxies for the utilitarian trading effect and the inventory cost, respectively, are insignificantly related to liquidity commonality. [source]