Retail Investor Sentiment and Behavior - an Empirical Analysis

Using a unique data set of retail investor orders submitted to the European Warrant Exchange, the Euwax Sentiment Index is being developed to accurately represent an actual measure of retail investor sentiment. It can be shown that retail investors are on average contrarians who trade in a correlated way and exhibit herding behavior both on a market and a stock level. Finally, it is shown that retail investor sentiment on individual stocks can be used for a profitable trading strategy.

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Year of publication:	2010-01-01
Authors:	Burghardt, Matthias
Publisher:	Universität Karlsruhe
Subject:	Retail investor sentiment \| herding \| derivatives

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Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Thesis
Language:	English
Source:	BASE