Relative Sentiment and Stock Returns

Posted: 11 Aug 2010  

Roger M. Edelen

University of California, Davis - Graduate School of Management

Alan J. Marcus

Boston College - Department of Finance

Hassan Tehranian

Boston College - Department of Finance

Date Written: August 11, 2010

Abstract

The sentiment of retail investors relative to that of institutional investors was measured by comparing their respective portfolio allocations to equity versus cash and fixed-income securities. The results suggest that fluctuations in retail sentiment are a primary driver of equity valuations for reasons unrelated to fundamentals.

Keywords: Portfolio Management, Asset Allocation, Equity Portfolio Management Strategies, Equity Investments, Equity Market Valuation and Return Analysis

Suggested Citation

Edelen, Roger M. and Marcus, Alan J. and Tehranian, Hassan, Relative Sentiment and Stock Returns (August 11, 2010). Financial Analysts Journal, Vol. 66, No. 4, pp. 20-32, 2010. Available at SSRN: https://ssrn.com/abstract=1656962

Roger M. Edelen (Contact Author)

University of California, Davis - Graduate School of Management ( email )

One Shields Avenue
Davis, CA 95616
United States

Alan J. Marcus

Boston College - Department of Finance ( email )

Fulton Hall
Chestnut Hill, MA 02467
United States
617-552-2767 (Phone)
617-552-0431 (Fax)

Hassan Tehranian

Boston College - Department of Finance ( email )

Carroll School of Management
140 Commonwealth Avenue
Chestnut Hill, MA 02467-3808
United States
617-552-3944 (Phone)
617-552-0431 (Fax)

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