Sanders, Dwight R.; Irwin, Scott H.; Leuthold, Raymond M. - EconWPA - 1997
The noise trader sentiment model of De Long, Shleifer, Summers, and Waldmann (1990a) is applied to futures markets. The …) than fundamental value. Thus, returns can be predicted using the level of noise trader sentiment. The null rational … expectations hypothesis is tested against the noise trader alternative using a commercial market sentiment index as a proxy for …