Kale(1985) & Black(1986) |If traders trade on “noise” signals, unrelated to fundamental data, then share price can deviate from intrinsic value. | |
|Shleifer (2000) |Two major foundation of behavioral finance: |
| |Limited arbitrage |
| |Investor sentiment |
|Shleifer (2000) |Investor sentiment is mainly driven by ...view middle of the document...
Baker, M., Stein, J. C. (2004): Market liquidity as a sentiment indicator. Journal of Financial market, 7, 271-299.
Barber, B. M., Odean, T., Zhu, N. (2006): Do Noise Traders move markets? Working paper, University of California at Davis and University of California at Berkeley.
Black, f. (1986): Noise. The Journal of Finance, 41(3), 529-543.
Kyle, A. S. (1985) Continuous Auctions and insider Trading. Econometrica 53(6), 1315-1336
Journal Paper: Retail Investor Sentiment and Return Comovements
|Author |Major Findings (Summary) |
| | |
|ALOK KUMAR and CHARLES |Investor sentiment and Stock return is affected by the co-movement or the correlation coefficient of |
|M.C. LEE |retail investor trading patterns. And the retail investor sentiment is not a simple derivative of the |
| |news events generally associated with changes in stock fundamentals. |
| | |
| |Retail investor’s trading action and trend involve or comprehend a similar stream coursed factor |
| |element. Suppose if one category or collection of shares are bought or sold by retail investors then |
| |other collection of shares are also likely to be bought or sold. So as if some retail investors are |
| |buying or selling shares then other retail investors are also likely to be buying or selling shares. As |
| |a result co-movement in stock’s expected return is encouraged by the investor sentiment through the |
| |changes in retail inventors’ portfolio. |
| | |
| |Retail investors’ trading action and trend measures the changes in retail investors sentiment which |
| |shows changes in investor sentiment have accumulative as increasing by additional illustrative |
| |analytical potential ability or power over- 1)small stocks 2)value stocks 3)low institutional ownership|
| |stocks and 4)lower priced stocks. Which means retail investors’ portfolios containing these above |
| |categorized stocks will receive higher excess return, only if retail investor’s trading activities and |