Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 1 of 1
Full-Text Articles in Entire DC Network
Two Essays On Investor Sentiment And The Profitability Of Contrarian And Momentum Strategies, Changmei Zhang
Two Essays On Investor Sentiment And The Profitability Of Contrarian And Momentum Strategies, Changmei Zhang
Theses and Dissertations in Business Administration
This dissertation, by employing different trading strategies, addresses the trading profitability issue in a broad scope of different markets.
In the equity market, I construct a group of BUY-SELL portfolios based on prior stock returns, and find that contrarian and momentum strategies are both significantly profitable. Investor sentiment, in addition to firm-specific risks, provides behavioral explanations to the profitability. Three popular sentiment measures are used for the purpose of study: two reduced-formed sentiment indexes that are constructed by Baker and Wurgler (2006) and the survey-based University of Michigan Consumer Sentiment Index. Several interesting findings are revealed: (1) extreme sentiment levels …