Investor sentiment, trading behavior and stock returns

Doojin Ryu, Hyeyoen Kim and Heejin Yang

Applied Economics Letters, 2017, vol. 24, issue 12, 826-830

Abstract: This article examines how investor sentiment and trading behaviour affect asset returns. By analysing the unique stock trading dataset of the Korean market, we find that high investor sentiment induces higher stock market returns. We also find that institutional (individual) trades are positively (negatively) associated with stock returns, suggesting the information superiority (inferiority) of institutional (individual) investors. Investor sentiment generally plays a more important role in explaining stock market returns than investor trading behaviour.

Date: 2017
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DOI: 10.1080/13504851.2016.1231890

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