Investor sentiment, market timing, and futures returns
AbstractThis study examines whether actual trader position-based sentiment index is useful for predicting returns in the S&P 500 index futures market. The results show that large speculator sentiment is a price continuation indicator, whereas large hedger sentiment is a contrary indicator. Small trader sentiment hardly forecasts future market movements. Moreover, extreme large trader sentiments and the combination of extreme large trader sentiments tend to provide more reliable forecasts. These findings suggest that large speculators possess superior timing ability in the market.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics.
Volume (Year): 13 (2003)
Issue (Month): 12 ()
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Web page: http://www.tandf.co.uk/journals/routledge/09603107.html
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6677, University Library of Munich, Germany.
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