Investor Sentiment and Asset Returns : Actions Speak Louder than Words
We analyze the daily predictability of investor sentiment across four major asset classes and compare sentiment measures based on news and social media with those based on trade information. For the majority of assets, trade-based sentiment measures outperform their text-based equivalents for both in-sample and out-of-sample predictions. This outperformance is particularly noticeable in long-term forecasts. However, real-time mean-variance investors can only achieve economic gains using Bitcoin trade sentiment, suggesting the challenge of transforming sentiment into daily profitable trading strategies
Year of publication: |
2022
|
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Authors: | Mai, Dat ; Pukthuanthong, Kuntara ; Zhou, Guofu |
Publisher: |
[S.l.] : SSRN |
Subject: | Schätzung | Estimation | Kapitaleinkommen | Capital income | Anlageverhalten | Behavioural finance | Börsenkurs | Share price |
Saved in:
freely available
Extent: | 1 Online-Ressource (44 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 18, 2022 erstellt |
Other identifiers: | 10.2139/ssrn.4281161 [DOI] |
Classification: | G00 - Financial Economics. General ; G01 - Financial Crises |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014235755
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