Sentiment Metrics and Investor Demand

被引：89

作者：

DeVault, Luke ^{[1
]}

Sias, Richard ^{[2
]}

Starks, Laura ^{[3
]}

机构：

[1] Clemson Univ, Clemson, SC 29631 USA

[2] Univ Arizona, Eller Coll Management, Tucson, AZ 85721 USA

[3] Univ Texas Austin, McCombs Sch Business, Austin, TX 78712 USA

来源：

JOURNAL OF FINANCE | 2019年 / 74卷 / 02期

关键词：

PRESIDENTIAL-ADDRESS; CONSUMER CONFIDENCE; CROSS-SECTION; IMPACT; PERFORMANCE; STRATEGIES; HOLDINGS; SALES; NOISE;

D O I：

10.1111/jofi.12754

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Recent work suggests that sentiment traders shift from safer to more speculative stocks when sentiment increases. Exploiting these cross-sectional patterns and changes in share ownership, we find that sentiment metrics capture institutional rather than individual investors' demand shocks. We investigate the underlying economic mechanisms and find that common institutional investment styles (e.g., risk management, momentum trading) explain a significant portion of the relation between institutions and sentiment.

引用

页码：985 / 1024

页数：40

共 67 条

[1] Uncovering Hedge Fund Skill from the Portfolio Holdings They Hide [J].