| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w10794
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| 来源ID | Working Paper 10794
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| Investor Sentiment Measures |
| Lily Qiu; Ivo Welch
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| 发表日期 | 2004-09-27
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| 出版年 | 2004
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| 语种 | 英语
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| 摘要 | This paper compares investor sentiment measures based on consumer confidence surveys with measures extracted from the closed-end fund discount (CEFD). Our evidence suggests that these two kinds of sentiment measures do not correlate well with one another. For a short 2 - 4 year period in which we have direct investor sentiment survey data from UBS/Gallup, only the consumer confidence correlates well with investor sentiment. Further, only the consumer confidence based measure can robustly explain the small-firm return spread and the return spread between stocks held disproportionately by retail investors and those held by institutional investors. Surprisingly, there is even a hint that the consumer confidence measure can explain closed-end fund IPO activity, while the CEFD cannot. In sum, our evidence supports the view that sentiment plays a role in financial markets, but that the CEFD may be the wrong measure of sentiment. |
| 主题 | Financial Economics
; Portfolio Selection and Asset Pricing
; Financial Markets
|
| URL | https://www.nber.org/papers/w10794
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568426
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推荐引用方式
GB/T 7714 |
Lily Qiu,Ivo Welch. Investor Sentiment Measures. 2004.
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文件名：
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w10794.pdf
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格式：
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Adobe PDF
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