Noise Trading, Investor Sentiment Volatility, and Stock Returns

2009 ◽  
Vol 29 (3) ◽  
pp. 40-47 ◽  
Author(s):  
Zhang Qiang ◽  
Yang Shu-e
Keyword(s):  
Stock Returns ◽  
Investor Sentiment ◽  
Noise Trading

Retail Trader’s Noise risk and closed-end fund pricing puzzle Investor Sentiment Model for Closed-end Equity Funds Pricing Puzzle an Empirical Study

2017 ◽  
Vol 1 (1) ◽  
pp. 59
Author(s):  
Raja Shahzad
Keyword(s):  
Empirical Study ◽  
Stock Returns ◽  
Investor Sentiment ◽  
The United States ◽  
Equity Returns ◽  
Equity Fund ◽  
Noise Traders ◽  
Demand And Supply ◽  
Noise Trading ◽  
Equity Funds

This empirical study investigates the rationale for the United States (US) closed-end equity fund discounts using investor sentiment approach of C. Lee, Shleifer, and Thaler (1991) for the period from 2004 to 2013. The result of this study suggests that discounts on closed-end equity funds decrease when small stocks return increase. The closed-end fund discounts have the significant stronger correlation with small capitalization as compared to large company’s stock returns. The results indicate that similar noise trading risk generated by retail traders explains the fluctuations in closed-end fund discounts and small capitalization equity returns even after controlling for fundamental factors. The results validated the existence of noise traders in market producing stochastic demand and supply based on their belief, subsequently affecting closed-end equity fund price in the market.

scholarly journals The Impact of Investor Sentiment on Return of Different Industries in Pakistan

2017 ◽  
pp. 1-23
Author(s):  
Sumayya Chughtai Et al.,
Keyword(s):  
Stock Returns ◽  
Principle Component Analysis ◽  
Negative Relationship ◽  
Investor Sentiment ◽  
Differential Impact ◽  
Future Period ◽  
Market Sentiment ◽  
Available Information ◽  
The Impact ◽  
The Relationship

We classify stocks in different industries to measure industrial sentiment based on principle component analysis in order to examine whether investor sentiment exerts a differential impact on stock returns across different industries. After having constructed industry-level sentiment indices we construct a composite investor sentiment index. Our results suggest that investor sentiment negatively affects current as well as future stock returns in Pakistan over the examined period. However, we find that the influence of investor sentiment varies substantially across different industries. We also find that the market sentiment index has a negative relationship with both current and future stock returns. We also show that the direction of the relationship between return and sentiment remains same for the current and future period. This indicates that investors overreact to the available information and mispricing exists for a prolonged time. Our results confirm that sentiment driven mispricing persists for upcoming time and stock markets are not fully efficient to adjust instantaneously.

Investor Sentiment and Stock Returns

2015 ◽  
pp. 315-328
Author(s):  
Serkan Yılmaz Kandır ◽  
Veli Akel ◽  
Murat Çetin
Keyword(s):  
Stock Returns ◽  
Investor Sentiment ◽  
Consumer Confidence ◽  
Cointegration Test ◽  
Sample Period ◽  
Monthly Data ◽  
Out Of Sample ◽  
Confidence Index ◽  
The Relationship

In this chapter, the authors investigate the relationship between investor sentiment and stock returns in an out of sample market, namely Borsa Istanbul. The authors use the Consumer Confidence Index as an investor sentiment proxy, while utilizing BIST Second National Index as a measure of small capitalized stock returns. The sample period spans from January 2004 to May 2014. By using monthly data, the authors employ cointegration test and error–correction based Granger causality models. The authors' findings suggest that there is a long-term relationship between investor sentiment and stock returns in Borsa Istanbul. Moreover, a unidirectional causal relationship from investor sentiment to stock returns is also found.

scholarly journals Idiosyncratic Risk, Stock Returns and Investor Sentiment

2018 ◽  
Vol 8 (7) ◽  
pp. 914-924
Author(s):  
Tsung-Yu Hsieh ◽  
Huai-I Lee ◽  
Ying-Ru Tsai
Keyword(s):  
Stock Returns ◽  
Investor Sentiment ◽  
Idiosyncratic Risk
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