We explore the predictive relation between high-frequency investor sentiment and stock market returns. Our results are based on a proprietary dataset of high-frequency investor sentiment, which is computed based on a comprehensive textual analysis of sources from news wires, internet news...

Extending recent findings from Barber et al. (2022) and Welch (2022), we document that retail investors from the discount broker Robinhood swarm into stocks with pending earnings announcements and stay away from them immediately after the announcements. We study four competing explanations for...