Sentiment Metrics and Investor Demand

60 Pages Posted: 19 Dec 2014 Last revised: 10 Jan 2018

See all articles by Luke DeVault

Luke DeVault

Clemson University - Department of Finance

Richard W. Sias

University of Arizona - Department of Finance

Laura T. Starks

University of Texas at Austin - Department of Finance

Date Written: January 9, 2018

Abstract

Recent work suggests that sentiment traders shift from safer to more speculative stocks when sentiment increases. Exploiting these cross-sectional patterns and changes in share ownership, we find that sentiment metrics capture institutional rather than individual investors’ demand shocks. We investigate the underlying economic mechanisms and find that common institutional investment styles (e.g., risk management, momentum trading) explain a significant portion of the relation between institutions and sentiment.

Suggested Citation

DeVault, Luke and Sias, Richard W. and Starks, Laura T., Sentiment Metrics and Investor Demand (January 9, 2018). Journal of Finance, Forthcoming, Available at SSRN: https://ssrn.com/abstract=2539858 or http://dx.doi.org/10.2139/ssrn.2539858

Luke DeVault

Clemson University - Department of Finance ( email )

Clemson, SC 29634
United States

Richard W. Sias (Contact Author)

University of Arizona - Department of Finance ( email )

McClelland Hall
P.O. Box 210108
Tucson, AZ 85721-0108
United States

Laura T. Starks

University of Texas at Austin - Department of Finance ( email )

Red McCombs School of Business
Austin, TX 78712
United States
512-471-5899 (Phone)
512-471-5073 (Fax)

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