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Short Term Momentum: Role of Investor Sentiment in Return Formation

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Short Term Momentum: Role of Investor Sentiment in Return Formation

Sha, Yuqing (2012) Short Term Momentum: Role of Investor Sentiment in Return Formation. Masters thesis, Concordia University.

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Abstract

Using transaction level data spanning across eighteen years over 1993 to 2010, we show that heavily bought stocks or heavily sold stocks display persistence in buy and sell order respectively. We show that over one trading day horizon, the persistence is strong enough to generate economically significant return. CAPM market factor, Fama-French Size and Book to Market factors, as well as Carhart’s momentum factor do not explain these results. However, the returns can be at least partially explained by investor sentiment variables and macroeconomic condition variables such as term and default spread and business cycle.

Divisions:Concordia University > John Molson School of Business
Item Type:Thesis (Masters)
Authors:Sha, Yuqing
Institution:Concordia University
Degree Name:M. Sc.
Program:Administration (Finance option)
Date:02 April 2012
Thesis Supervisor(s):Ravi, Rahul
ID Code:973721
Deposited By:YUQING SHA
Deposited On:20 Jun 2012 10:39
Last Modified:15 Nov 2012 16:15
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