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Institutional and individual sentiment: Smart money and noise trader risk? · Study

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ArticleInstitutional and individual sentiment: Smart money and noise trader risk?

Maik Schmeling2006

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Institutional and individual sentiment: Smart money and noise trader risk?

144 citations·0/0 files stored·International Journal of Forecasting

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1988Testing for a Unit Root in Time Series Regression 1985Continuous Auctions and Insider Trading 1990Noise Trader Risk in Financial Markets 2006Investor Sentiment and the Cross‐Section of Stock Returns 1996Efficient Tests for an Autoregressive Unit Root 1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1

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2012International herding: Does it differ across sectors?2019Investor sentiment and stock return volatility: Evidence from the Johannesburg Stock Exchange 2009Together we invest? Individual and institutional investors' trading behaviour in Poland 2013Investor Sentiment, Limits to Arbitrage and Private Market Returns

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Year2006

Typearticle

Published2006-12-16

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations144

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.ijforecast.2006.09.002

openalex_workW1577091250

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