The Asymmetric Effects Of Investor Sentiment
Download and Read The Asymmetric Effects Of Investor Sentiment full books in PDF, ePUB, and Kindle. Read online free The Asymmetric Effects Of Investor Sentiment ebook anywhere anytime directly on your device. We cannot guarantee that every ebooks is available!
The Asymmetric Effects of Investor Sentiment
Author | : Chandler Lutz |
Publisher | : |
Total Pages | : 40 |
Release | : 2016 |
Genre | : |
ISBN | : |
Download The Asymmetric Effects of Investor Sentiment Book in PDF, Epub and Kindle
We use the returns on lottery-like stocks to construct a novel index for investor sentiment in the stock market. This new measure is closely related to previously developed sentiment indicators, but more accurately tracks speculative episodes over the sample period. Using our index, we find that the relationship between sentiment and returns is asymmetric: during bear markets, high sentiment predicts low future returns for the cross-section of speculative stocks and the market overall while the relationship during bull markets is weak and often insignificant. Thus, the results suggest that sophisticated investors only act as corrective force during certain time periods. We also show that our index predicts implied volatility, media pessimism, and mutual fund flows. Overall, our findings are consistent with both the theories and anecdotal accounts of investor sentiment in the stock market.
The Asymmetric Effects of Investor Sentiment Related Books
Pages: 40
Pages: 0
Pages: 12
Pages: 80
Pages: 170