Burghardt, Matthias
[Verfasser:in]
;
Czink, Marcel
[Sonstige Person, Familie und Körperschaft];
Riordan, Ryan
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 29, 2008 erstellt
Beschreibung:
Using a unique data set with 18.1 million transactions in bank-issued warrants from the European Warrant Exchange, we compute a retail investor sentiment index. We show that retail investors are contrarian, that retail investor sentiment is an important part of the equity pricing process and that we have a good measure of the sentiment. Moreover, our measure is better than existing measures for our sample period between January 2004 and December 2007. In addition, we show evidence that this data may be used for trading strategies that generate excess returns. As a whole our findings further support a role for retail investor sentiment in the equity pricing process