Term structure of sentiment effect on investor trading behavior

Karam Kim and Doojin Ryu

Finance Research Letters, 2021, vol. 43, issue C

Abstract: We examine the relationships among firm-specific sentiments, investor trading behaviors, and stock returns depending on time terms. The term structure of the sentiment effect on investors’ trading volume is downward-sloping, implying that sentiment trading is short-lived. Domestic individuals are the most sentimental. Domestic institutional trading is the least affected by sentiment in the short run; foreign investors’ sentiment trading quickly diminishes in the longer term.

Keywords: Firm-specific sentiment; Investor type; Stock return; Term structure; Trading behavior (search for similar items in EconPapers)
JEL-codes: G11 G12 G41 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000866

DOI: 10.1016/j.frl.2021.102005

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