| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP17370 |
| DP17370 Relative Investor Sentiment Measurement | |
| Xiang Gao; Thomas Walther; Zhan Wang | |
| 发表日期 | 2022-06-09 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | This paper proposed a new metric to gauge investor sentiment using a relative valuation method. We combine investor behavioral traits and option-implied standard deviations under both the real-world probabaility valued most in the view of the uninformed investors and the risk-neutral space adopted when there exists no cognitive error. Given that investor sentiment can be thought of as risk taking by the uniformed exceeding their informed peers, we postulate that the differences between variance, skewness and kurtosis mesures for investors with various behavioral traits.We hence construct our investor sentiment proxy by summing these differentials of variance, skewness and kurtosis in weighted forms. It is documented that such relative investor sentiment metric exhibits economically and statistically strong return predictability for momentum porfolios. Our findings contribute to the extant literature by 1) complementing the Baker-Wurgler market-based investor sentiment index from a theoretical perspective 2) modelling investor sentiment via utilizing the informational content of options prices and 3) supporting the Barberis-Schleifer-Vishny definition of investor sentiment to be differences in financial market participant behavior. |
| 主题 | Financial Economics |
| 关键词 | Sentiment Emotional bias Cognitive error Preservers Accumulators Momentum Return predictability |
| URL | https://cepr.org/publications/dp17370 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/546423 |
| 推荐引用方式 GB/T 7714 | Xiang Gao,Thomas Walther,Zhan Wang. DP17370 Relative Investor Sentiment Measurement. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
