Investment sentiment measures
By: Lily Qiu, Ivo Welch.
Contributors: Welch, Ivo.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 10794; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 10794.
Publisher: National Bureau of Economic Research
Published: 2004
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Consumer confidence -- Measurement.; Investments -- Psychological aspects -- Measurement.
Description: "This paper compares investor sentiment measures based on consumer confidence surveys with measures extracted from the closed-end fund discount (CEFD).  Our evidence suggests that these two kinds of sentiment measures do not correlate well with one another.  For a short 2-4 year period in which we have direct investor sentiment survey data from UBS/Gallup, only the consumer confidence correlates well with investor sentiment.  Further, only the consumer confidence based measure can robustly explain the small-firm return spread and the return spread between stocks held disproportionately by retail investors and those held by institutional investors.  Surprisingly, there is even a hint that the consumer confidence measure can explain closed-end fund IPO activity, while the CEFD cannot.  In sum, our evidence supports the view that sentiment plays a role in financial markets, but that the CEFD may be the wrong measure of sentiment"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
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