Sentiment Metrics and Investor Demand

• 成果类型: Article
• 署名作者: DeVault, Luke; Sias, Richard; Starks, Laura
• 署名单位: Clemson University; University of Arizona; University of Texas System; University of Texas Austin
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12754
• 发表日期: 2019
• 页码: 985-1024
• 关键词: PRESIDENTIAL-ADDRESS; consumer confidence; cross-section; IMPACT; performance; strategies; holdings; sales; noise

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.