Individual investors and stock returns

被引：2

作者：

Aboura S. ^{[1
]}

机构：

[1] Universite de Paris XIII, Sorbonne Paris Cite, CEPN (UMR-CNRS 7234), Villetaneuse

来源：

Journal of Asset Management | 2016年 / 17卷 / 7期

关键词：

Bounded rationality; Market efficiency; Sentiment index;

D O I：

10.1057/jam.2016.19

中图分类号：

学科分类号：

摘要：

This article examines the relationship between the S&P 500 stock index and the S&P 500 sentiment index compiled by the American Association of Individual Investors. The empirical investigation is based on ordinary least squares and quantile regressions during the period from 1987 to 2015. The main finding supports the idea that the individual investors sentiment index is more informative when financial markets are bearish. © 2016 Macmillan Publishers Ltd.

引用

页码：477 / 485

页数：8

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