Article2016

Investor sentiment, trading behavior and stock returns

122 citations0/0 files storedApplied Economics Letters

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

Abstract

This article examines how investor sentiment and trading behaviour affect asset returns. By analysing the unique stock trading dataset of the Korean market, we find that high investor sentiment induces higher stock market returns. We also find that institutional (individual) trades are positively (negatively) associated with stock returns, suggesting the information superiority (inferiority) of institutional (individual) investors. Investor sentiment generally plays a more important role in explaining stock market returns than investor trading behaviour.

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References

2006Investor Sentiment and the Cross‐Section of Stock Returns 2020Integración de los mercados financieros Latinoamericanos por medio de MILA 2011The short of it: Investor sentiment and anomalies 2006Retail Investor Sentiment and Return Comovements 2003Investor sentiment and the near-term stock market 2004Market liquidity as a sentiment indicator 2014Expectations of Returns and Expected Returns 2011Global, local, and contagious investor sentiment

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2018Risk Compensation and Market Returns: The Role of Investor Sentiment in the Stock Market 2018Firm-specific investor sentiment and daily stock returns 2021Information uncertainty, investor sentiment, and analyst reports 2017Investor sentiment, asset returns and firm characteristics: Evidence from the Korean Stock Market 2019Firm-specific investor sentiment and the stock market response to earnings news 2022Renewable energy stocks forecast using Twitter investor sentiment and deep learning

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