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Diurnal rhythms in investor sentiment

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  • Drerup, Tilman

Abstract

I use data from a large social network to assess the diurnal stability of investors’ collective valuation of financial assets. Employing user-assigned valuation indicators attached to time-stamped messages, I show that investors’ sentiment towards assets, which is fairly constant during most of the day, dips markedly and regularly in the morning. When looking at messages posted by different subsamples of users, I find that both level and variability of investor sentiment decrease with trading experience. Not only are more experienced investors as a group less optimistic than novice investors, their valuations are also substantially less variable over the course of the day. The findings provide empirical support for assumptions and results that feature prominently in theoretical and empirical descriptions of investor behavior.

Suggested Citation

  • Drerup, Tilman, 2015. "Diurnal rhythms in investor sentiment," Journal of Behavioral and Experimental Finance, Elsevier, vol. 7(C), pages 71-81.
    • Handle: RePEc:eee:beexfi:v:7:y:2015:i:c:p:71-81
    DOI: 10.1016/j.jbef.2015.07.002
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    More about this item

    Keywords

    Investor sentiment; Experience; Sophistication; Intraday;
    All these keywords.

    JEL classification:

    • A12 - General Economics and Teaching - - General Economics - - - Relation of Economics to Other Disciplines
    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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