Investor sentiment, market timing, and futures returns

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چکیده

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Investor Sentiment, Market Timing, and Futures Returns

Investor sentiment index based on actual trader positions is useful for forecasting S&P 500 index futures returns. We find that large speculator sentiment is a price continuation indicator, whereas large hedger sentiment is a weak contrary indicator. Small trader sentiment does not forecast returns. We show that extreme levels and the combination of extreme levels of sentiments of the two types...

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ژورنال

عنوان ژورنال: Applied Financial Economics

سال: 2003

ISSN: 0960-3107,1466-4305

DOI: 10.1080/0960310032000129653