Empirical indicators of sentiment are commonly employed in the economic literature while a precise understanding of what is sentiment is still missing. Exploring the links among the most popular proxies of sentiment, fear and uncertainty this paper aims to fi ll this gap. We show how fear and...

We introduce the concept of “negative bubbles” as the mirror image of standard financial bubbles, in which positive feedback mechanisms may lead to transient accelerating price falls. To model these negative bubbles, we adapt the Johansen-Ledoit-Sornette (JLS) model of rational expectation...

We test whether forecast bias affects household stock trading by combining measures of bias elicited in laboratory experiments with administrative trade-level data. On average, subjects exhibit positive forecast bias (i.e., extrapolators), while a large minority exhibit negative forecast bias...

Average skewness, which is defined as the average of monthly skewness values across firms, performs well at predicting future market returns. This result still holds after controlling for the size or liquidity of the firms or for current business cycle conditions. We also find that average...