Institutional and Individual Sentiment:Smart Money and Noise Trader Risk

Using a new data set on investor sentiment we show that institutional and individualsentiment proxy for smart money and noise trader risk, respectively. First, usingbias-adjusted long-horizon regressions, we document that institutional sentiment forecastsstock market returns at intermediate horizons correctly, whereas individualsconsistently get the direction wrong. Second, VEC models show that institutionalsentiment forecasts mean-reversion whereas individuals forecast trend continuation.[...]

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Year of publication:	2006-05-01
Authors:	Schmeling, Maik
Institutions:	Universität <Hannover> / Wirtschaftswissenschaftliche Fakultät
Subject:	Handel \| trade \| Investor \| Regressionsschätzung \| regression estimation

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1 Introduction
2 Hypotheses and earlier literature
3 Data and descriptive statistics
4 Long-horizon return regressions
4.1 Econometric methodology
4.2 Estimation results and interpretation
5 VECM analyses
6 Further plausibility checks and some stabilityconsiderations
7 Conclusion

Persistent link: https://www.econbiz.de/10005867503