We build an original market sentiment index based solely on changes over time in the number of different stocks held by individual investors. No prices, returns or trading volumes enter the definition. As a consequence, our index is not contaminated by liquidity concerns present in measures...

The concept of fund manager herding has been studied in depth, and the most widely used measure applied to this market-wide phenomena is the one incepted in Lakonishok, Shleifer & Vishny (1992), LSV. However, this measure has been much criticized, and its validity is still in doubt. This paper...

We infer which risk model investors use by looking at their capital allocation decisions. We find that investors adjust for risk using the beta of the Capital Asset Pricing Model (CAPM). Extensions to the CAPM perform poorly, implying that they do not help explain how investors measure risk

This paper presents evidence on attitude changes among investors in the US stock market. Two basic attitudes are explored: bubble expectations and investor confidence. Semiannual time-series indicators of these attitudes are presented for US stock market institutional investors based on...

Investor sentiment indicates how far an asset value deviates from its economic fundamentals. In this article, we review various measures of investor sentiment based on market, survey, and text and media data. There is ample evidence that sentiment can explain returns on stocks that are difficult...