Individual Investor Sentiment and Comovement in Small Stock Returns ∗

  title={Individual Investor Sentiment and Comovement in Small Stock Returns ∗},
  author={Alok Kumar},
Using data from a major discount brokerage house, we examine the effect of individual investor trading on stock returns. We show that the buy-sell imbalance in individual investors’ trades contains a systematic component that is uncorrelated with overall market movements. Using this common component as a measure of individual investor sentiment, we show that it is weakly correlated with standard risk factors and macro-economic variables, and is strongly influenced by “expert” advice from… CONTINUE READING

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