منابع مشابه
Investor Competition over Information and Stock Returns
Drawing upon recent research on the governance effect of information competition among informed investors, we hypothesize a cross-sectional variation in future stock returns that is conditional on information competition. Measuring competition using the concentration of institutional ownership, we show one-quarter-ahead and one-year-ahead returns are increasing in the intensity of information c...
متن کاملInvestor Flows and Stock Market Returns
This study is the first to simultaneously analyze the relation between aggregate stock market returns and cash flows of the various investor groups that constitute the entire stock market in the United States. We examine the relation between investor flows and stock market returns over a long time period from 1952 to 2004, and also examine the relation between investor flows and longer-term sto...
متن کاملIndividual 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...
متن کاملIndividual Investor Sentiment and Comovement in Small Stock Returns∗
Using data from a major discount brokerage house, we examine the effect of individual investor trading on stock returns. We show that the buy-sell imbalance in individual investors’ trades contains a systematic component that is uncorrelated with overall market movements. Using this common component as a measure of individual investor sentiment, we show that it is weakly correlated with standar...
متن کاملInvestor sentiment and stock returns: Some international evidence
We examine whether consumer confidence – as a proxy for individual investor sentiment – affects expected stock returns internationally in 18 industrialized countries. In line with recent evidence for the U.S., we find that sentiment negatively forecasts aggregate stock market returns on average across countries. When sentiment is high, future stock returns tend to be lower and vice versa. This ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2005
ISSN: 1556-5068
DOI: 10.2139/ssrn.817066