Do measures of investor sentiment predict returns?
Author InfoRobert Neal Simon M. Wheatley Abstract It has long been market folklore that the best time to buy stocks is when individual investors are bearish. We examine the forecast power of three popular measures of individual investor sentiment: the level of discounts on closed-end funds, the ratio of odd-lot sales to purchases, and net mutual fund redemptions. Using data from 1933 to 1993, we find evidence that fund discounts and net redemptions predict the size premiums, the difference between small and large firm returns, but little evidence that the odd-lot ratio predicts returns. Download InfoTo download: If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
