Doukas, John A.; Milonas, Nikolaos T. - In: European Financial Management 10 (2004) 2, pp. 235-266
In this paper we examine the proposition that small investor sentiment, measured by the change in the discount/premium on closed-end funds, is an important factor in stock returns. We conduct an out-of-sample test of the investor sentiment hypothesis in a market environment that is more likely...