Institutional and individual sentiment: Smart money and noise trader risk?

International Journal of Forecasting

Volumn 23, Issue 1, 2007, Pages 127-145

  Schmeling, Maik ^a  

^a LEIBNIZ UNIVERSITY HANNOVER   (Germany)

Author keywords

Individual investor sentiment; Institutional investor sentiment; Noise trader; Predictive regressions; Smart money

Indexed keywords

EID: 33847018049     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2006.09.002     Document Type: Article

References (53)

1. Amihud Y., and Hurvich C.M. Predictive regressions: A reduced-bias estimation method. Journal of Financial and Quantitative Analysis 39 (2004) 813-841
2. Andrews D.K. Tests for parameter instability and structural change with unknown change point. Econometrica 61 (1993) 821-856
3. Andrews D.K., and Ploeberger W. Optimal tests when a nuisance parameter is present only under the alternative. Econometrica 62 (1994) 1383-1414
4. Ang, A., Bekaert, G., & Wei, M. (in press). Do macro variables, asset markets or surveys forecast inflation better? Journal of Monetary Economics.
5. Antweiler W., and Frank M.Z. Is all that talk just noise? The information content of internet stock message boards. Journal of Finance 59 (2003) 1259-1294
6. Bacchetta P., and van Wincoop E. A scapegoat model of exchange-rate fluctuations. American Economic Review, Papers and Proceedings 94 (2004) 114-118
7. Badrinath S.G., and Wahal S. Momentum trading by institutions. Journal of Finance 62 (2002) 2449-2478
8. Baker M., and Wurgler J. Investor sentiment and the cross-section of stock returns. Journal of Finance 61 (2006) 1645-1680
9. Bange M.M. Do the portfolios of small investors reflect positive feedback trading?. Journal of Financial and Quantitative Analysis 35 (2000) 239-255
10. Barber B.M., Odean T., and Zhu N. Do noise traders move markets?. Working paper (2005), Haas School of Business, UC Berkeley
11. Barberis N., Shleifer A., and Vishny R. A model of investor sentiment. Journal of Financial Economics 49 (1998) 307-343
12. Bodurtha Jr. J.N., Kim D.-S., and Lee C.M.C. Closed-end country funds and U.S. market sentiment. Review of Financial Studies 8 (1995) 879-918
13. Boyd J.H., Hu J., and Jagannathan R. The stock market's reaction to unemployment news: Why bad news is usually good for stocks. Journal of Finance 60 (2005) 649-672
14. Brown G., and Cliff M.T. Investor sentiment and the near-term stock market (2004). Journal of Empirical Finance 11 (2004) 1-27
15. Brown G., and Cliff M.T. Investor sentiment and asset valuation. Journal of Business 78 (2005) 405-440
16. Campbell J.Y., and Kyle A.S. Smart money, noise trading and stock price behaviour. Review of Economic Studies 60 (1993) 1-34
17. Campbell J.Y., Ramadorai T., and Vuolteenaho T. Caught on tape: Institutional order flow and stock returns Vol. 11439 (2005) NBER Working Paper
18. Chakravarty S. Stealth-trading: Which trader's trades move stock prices?. Journal of Financial Economics 61 (2001) 289-307
19. Chen H., Noronha G., and Singal V. The price response to S and P 500 index additions and deletions: Evidence of asymmetry and a new explanation. Journal of Finance 59 (2004) 1901-1930
20. Chui A., Titman S., and Wei J. Individualism and momentum around the world (2005) AFA 2006 Boston Meetings Paper
21. Conrad J., Cornell B., and Landsman W.R. When is bad news really bad news?. Journal of Finance 57 (2002) 2507-2532
22. DeBondt W.F.M. Betting on trends: Intutitive forecasts of financial risk and return. International Journal of Forecasting 9 (1993) 355-371
23. DeLong J.B., Shleifer A., Summers L.H., and Waldmann R.J. Noise trader risk in financial markets. Journal of Political Economy 98 (1990) 703-738
24. Dickey D.A., and Fuller W.A. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 74 (1979) 427-431
25. Elliott G., Rothenberg T.J., and Stock J.H. Efficient tests for an autoregressive unit root. Econometrica 64 (1996) 813-836
26. Fama E. Market efficiency, long-term returns, and behavioral finance. Journal of Financial Economics 49 (1998) 283-306
27. Ferson W.E., Sarkissian S., and Simin T.T. Spurious regressions in financial economics?. Journal of Finance 63 (2003) 1393-1412
28. Frazzini A., and Lamont O.A. Dumb money: Mutual fund flows and the cross-section of stock returns Vol. 11526 (2005) NBER working paper
29. Gervais S., Kaniel R., and Mingelgrin D.H. The high-volume return premium. Journal of Finance 56 (2001) 877-919
30. Griffin J.M., Harris J.H., and Topaloglu S. The dynamics of institutional and individual trading. Journal of Finance 58 (2003) 2285-2320
31. Hamilton J.D. Time series analysis (1994), Princeton University Press, Princeton
32. Jegadeesh N., and Titman S. Profitability of momentum strategies: An evaluation of alternative explanations. Journal of Finance 56 (2001) 699-720
33. Jones C.M., and Lipson M. Are retail orders different?. Working paper (2004), Columbia University
34. Kaniel R., Saar G., and Titman S. Individual investor sentiment and stock returns. Working paper (2005), Duke University
35. Kumar A., and Lee C. Retail investor sentiment and return comovement. Journal of Finance 61 (2006) 2451-2486
36. Kyle A.S. Continuous auctions and insider trading. Econometrica 53 (1985) 1315-1336
37. Lee W.Y., Jiang C.X., and Indro D.C. Stock market volatility, excess returns, and the role of investor sentiment. Journal of Banking and Finance 26 (2002) 2277-2299
38. Lemmon, M., & Portniaguina, E. (in press). Consumer confidence and asset prices: Some empirical evidence. Review of Financial Studies.
39. Ljung G., and Box G.E.P. On a measure of lack of fit in time series models. Biometrika 66 (1987) 67-72
40. Neal R., and Wheatley S.M. Do measures of investor sentiment predict returns?. Journal of Financial and Quantitative Analysis 33 (1998) 523-547
41. Newey W., and West K. A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55 (1987) 703-708
42. Nofsinger J.R., and Sias R.W. Herding and feedback trading by institutional and individual investors. Journal of Finance 59 (1999) 2263-2295
43. Perron P., and Phillips P.C.B. Testing for a unit root in time series regression. Biometrika 75 (1988) 335-346
44. Polk C., and Sapienza P. The stock market and corporate investment: a test of catering theory (2006) Northwestern University working paper
45. Shiller R.J. From efficient markets theory to behavioral finance. Journal of Economic Perspectives 17 (2003) 83-104
46. Shleifer A. Inefficient markets (2000), Oxford University Press, Oxford
47. Sias R.W. Institutional herding. Review of Financial Studies 17 (2004) 165-206
48. Sias, R., Starks, L.T., & Titman, S. (in press). Changes in institutional ownership and stock returns: Assessment and methodology. Journal of Business.
49. Stambaugh R.F. Predictive regressions. Journal of Financial Economics 54 (1999) 375-421
50. Sullivan R., Timmermann A., and White H. Data-snooping, technical trading rule performance, and the bootstrap. Journal of Finance 54 (1999) 1647-1691
51. Valkanov R. Long-horizon regressions: Theoretical results and applications. Journal of Financial Economics 68 (2003) 201-232
52. Wang Y.-H., Keswani A., and Taylor S.J. The relationships between sentiment, returns and volatility. International Journal of Forecasting 22 (2006) 109-123
53. Zheng L. Is money smart? A study of mutual fund investors' fund selection ability. Journal of Finance 54 (1999) 901-933