Individual investors and stock returns

Sofiane Aboura
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Sofiane Aboura: Universite de Paris XIII

Journal of Asset Management, 2016, vol. 17, issue 7, No 1, 477-485

Abstract: Abstract 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.

Keywords: sentiment index; market efficiency; bounded rationality (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1057/jam.2016.19

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