The Nonlinear Relationship between Investor Sentiment, Stock Return, and Volatility

Investor Sentiment and Volume-Volatility Relationship∗

This paper shows the effect of investor sentiment on information processing in the financial market. We investigate how disagreement among investors affects the relationship between trading intensity and price volatility around macroeconomic announcements during high and low sentiment periods. By incorporating into the Kandel and Pearson (1995) model a one factor structure with heterogeneous be...

The Threshold Effect of Investors Sentiment On Stock Market Return

The behavioral financial perspective shows some changes in the price of securities have no fundamental reason and depend on the irrational behaviors of investors as measured by the investor sentiment. Investor sentiment plays an important role in the volatility of securities prices and returns. At first, by finding the thresholds and testing these points statistically, we showed that the invest...

Investor Sentiment in the Stock Market

Real investors and markets are too complicated to be neatly summarized by a few selected biases and trading frictions. The “top down” approach to behavioral finance focuses on the measurement of reduced form, aggregate sentiment and traces its effects to stock returns. It builds on the two broader and more irrefutable assumptions of behavioral finance—sentiment and the limits to arbitrage—to ex...

Individual Investor Sentiment and Stock Returns

This paper investigates a unique dataset that enables us to determine the aggregate buy and sell volume of individual investors for a large cross-section of NYSE stocks. We find that individuals trade as if they are contrarians, and that the stocks that individuals buy exhibit positive excess returns in the following month. These patterns are consistent with the idea that risk-averse individual...

Stock Return Momentum and Investor Fund Choice