Conference paper
Investor sentiment and momentum and contrarian trading strategies: Mutual fund evidence
24th Australasian Finance and Banking Conference (Sydney, NSW, Australia, 14/12/2011–16/12/2011)
2011
Abstract
Stocks with high sentiment betas are more sensitive to investor sentiment, with more subjective valuations. We contend that sentiment beta also captures the duration of mispricing. Accordingly, stocks with high (low) sentiment betas provide opportunities for momentum (contrarian) traders. We form hypothetical zero investment portfolios of high (low) sentiment betas stocks, and show that momentum profits decompose to reveal positive (negative) serial correlation of idiosyncratic returns, that contribute to momentum (contrarian) profits. Furthermore, actual mutual funds identified as momentum (contrarian) traders hold stocks with higher (lower) sentiment betas. Additionally, funds adjust sentiment betas to enhance performance as sentiment changes.
Details
- Title
- Investor sentiment and momentum and contrarian trading strategies: Mutual fund evidence
- Authors/Creators
- G. Cullen (Author/Creator)D. Gasbarro (Author/Creator)G.S. Monroe (Author/Creator)J.K. Zumwalt (Author/Creator)
- Conference
- 24th Australasian Finance and Banking Conference (Sydney, NSW, Australia, 14/12/2011–16/12/2011)
- Identifiers
- 991005540211907891
- Murdoch Affiliation
- Do not use- Former Murdoch Business School
- Language
- English
- Resource Type
- Conference paper
Metrics
111 File views/ downloads
51 Record Views