Schmitz, Philipp; Glaser, Markus; Weber, Martin - Sonderforschungsbereich 504 "Rationalitätskonzepte, …; … - 2006
In this paper, we propose a measure of individual investor sentiment that is derived from the market for bank-issued warrants. Due to a unique warrant transaction data set from a large discount broker we are able to calculate a daily sentiment measure and test whether individual investor...