Retail Investor Sentiment and Behavior : An Empirical Analysis

Online-Ressource (XV, 158p. 19 illus, digital)

Includes bibliographical references

Acknowledgements; Table of Contents; Abbreviations; List of Figures; List of Tables; 1 Introduction; 1.1. Motivation; 1.2. Research Outline; 1.3. Overview and Structure; 1.4. Related Publications; 2 Related Theoretical and Empirical Work; 2.1. Introduction to Behavioral Finance; 2.1.1. Are Financial Markets Efficient?; 2.1.2. Challenges to Efficient Markets; 2.1.3. Emergence of Behavioral Finance; 2.2. Theoretical Work; 2.3. Empirical Work; 2.3.1. Noise Traders; 2.3.2. Investor Sentiment; 2.3.3. Individual Investors; 2.3.4. Correlated Trading; 2.4. Discussion; 2.4.1. Behavioral Finance

2.4.2. Correlated Trading2.4.3. Return Correlation; 2.4.4. Market Efficiency; 2.5. Conclusion; 3 Investor Sentiment Construction; 3.1. Classification of Sentiment Measures; 3.1.1. Related Work; 3.1.2. Advantages and Disadvantages; 3.2. Sentiment Measures in Research; 3.2.1. The Closed-End Funds Discount; 3.2.2. Meta-Measures; 3.3. Sentiment Measures in Practice; 3.3.1. Survey-Based Measures; 3.3.2. Market-Data-Based Measures; 3.3.3. Meta-Measures; 3.3.4. Summary Statistics; 3.4. Evaluation of Sentiment Measures; 3.4.1. Direct Sentiment Measures; 3.4.2. Indirect Sentiment Measures

3.4.3. Direct vs. Indirect Sentiment Measures3.4.4. Sentiment Measures vs. Market Returns; 3.4.5. Review of Results; 3.5. Conclusion; 4 Construction of the Euwax Sentiment Index; 4.1. Introduction; 4.1.1. Securitized Derivatives; 4.1.2. European Warrant Exchange; 4.1.3. Key Facts; 4.2. Data Set; 4.3. Basic Index Calculation; 4.4. Sentiment Analysis; 4.4.1. Numbervs. Volume-Based Measures; 4.4.2. Product Types; 4.4.3. Order Types; 4.4.4. Order Volume Groups; 4.4.5. Submitted Orders; 4.4.6. Leverage; 4.5. Comparison with Other Sentiment Measures; 4.5.1. Indirect Sentiment Measures

4.5.2. Direct Sentiment Measures4.5.3. Review of Results; 4.6. Conclusion; 5 Retail Investor Herding; 5.1. Introduction; 5.2. Related Work; 5.2.1. Definitions of Herding; 5.2.2. Empirical Findings; 5.2.3. Discussion; 5.3. Evidence of Market-Wide Herding; 5.3.1. Data; 5.3.2. Herding Measure Construction; 5.3.3. Results; 5.3.4. Review of Results; 5.4. Market-Wide Herding on a Broker Level; 5.4.1. Data; 5.4.2. Results; 5.4.3. Review of Results; 5.5. Stock-Level Herding; 5.5.1. Data; 5.5.2. Herding Measure; 5.5.3. Results; 5.5.4. Review of Results; 5.6. Conclusion

6 The Predictive Power of Retail Investor Sentiment6.1. Related Work; 6.2. Data and Methodology; 6.2.1. Data Set; 6.2.2. Methodology; 6.3. Results; 6.3.1. Preand Post-Portfolio-Formation Returns; 6.3.2. Control Variables; 6.3.3. Portfolio Holding Returns; 6.4. Robustness Checks; 6.5. Conclusion; 7 Conclusion and Future Work; 7.1. Conclusion; 7.2. Summary of Contributions; 7.3. Future Work; Appendix; A Appendix to Chapter 4; Bibliography

10.1007/978-3-8349-6170-9 [DOI]

ECONIS - Online Catalogue of the ZBW