Individual investor sentiment and stock returns - what do we learn from warrant traders?


Schmitz, Philipp ; Glaser, Markus ; Weber, Martin


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URL: https://ub-madoc.bib.uni-mannheim.de/2577
URN: urn:nbn:de:bsz:180-madoc-25770
Document Type: Working paper
Year of publication: 2006
The title of a journal, publication series: Rationalitätskonzepte, Entscheidungsverhalten und ökonomische Modellierung
Volume: 06-12
Place of publication: Mannheim
Publication language: English
Institution: School of Law and Economics > Sonstige - Fakultät für Rechtswissenschaft und Volkswirtschaftslehre
MADOC publication series: Sonderforschungsbereich 504 > Rationalitätskonzepte, Entscheidungsverhalten und ökonomische Modellierung (Laufzeit 1997 - 2008)
Subject: 330 Economics
Classification: JEL: G1 ,
Subject headings (SWD): Optionsschein , Effektenbank , Privater Anleger , Anlageverhalten
Keywords (English): Sentiment , Bank-issued Warrants , Covered Warrants , Individual Investors , Investor Behavior
Abstract: In this paper, we propose a measure of individual investor sentiment that is derived from the market for bank-issued warrants. Due to a unique warrant transaction data set from a large discount broker we are able to calculate a daily sentiment measure and test whether individual investor sentiment is related to daily stock returns by using vector autoregressive models and Granger causality tests. We find that there exists a mutual influence of sentiment and stock market returns, but only in the very short-run (one and two trading days). Returns have a negative influence on sentiment, while the influence of sentiment on returns is positive for the next trading day. The influence of stock market returns on sentiment is stronger than vice versa. Our sentiment measure simultaneously avoids problems that are associated with existing sentiment measures, which are based on the closed-end fund discount, stock market transactions, the put-call ratio or investor surveys.
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Dieser Eintrag ist Teil der Universitätsbibliographie.

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Schmitz, Philipp ; Glaser, Markus ; Weber, Martin (2006) Individual investor sentiment and stock returns - what do we learn from warrant traders? Open Access Rationalitätskonzepte, Entscheidungsverhalten und ökonomische Modellierung Mannheim 06-12 [Working paper]
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