Do Measures of Investor Sentiment Predict
Returns?
期刊名称： Journal of Financial and Quantitative Analysis
作者： Neal, Robert,Wheatley, Simon M.
年份： 1998年
期号： 第4期
关键词： learning in games;evolutionary games;evolutionary economics
摘要：It has long been market folklore that the best time to buy stocks is when individual investors are bearish, and the best time to ll is when individual investors are bullish. We examine the forecast power of three popular measures of individual investor ntiment: the level of discounts on clod-end funds, the ratio of odd-lot sales to purchas, and net mutual fund redemptions. Using data from 1933 t
o 1993, we find that fund discounts and net redemptions predict the size premium, the difference between small and large firm returns, but little evidence that the odd-lot ratio predicts returns.
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