G2TT
来源类型Discussion paper
规范类型论文
来源IDDP17370
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
URLhttps://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.
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