The Impact of Short-Sale Constraints and Investor Sentiment on trading activity
Date Issued
2013
Date
2013
Author(s)
Lin, Yang-Ju
Abstract
We depend on Chordia, T., Huh, S., Subrahmanyam, A., (2006), and use it for our basic base. Then we add investor sentiment factor (Robert F., Stambaugh, Yu J., Yuan Y., (2010)) and short-sale constrain factor (Nagel S., (2004)) to study the change and effect among factors. Our data period is form beginning of 1983 to end of 2012, cover NYSE/AMEX and Nasdaq, and contain 15 factors. The results show that when short-sale constrain is tighter, trading activity is duller. When using high and low two period to distinguish investor sentiment, we find volatility of expecting earning is higher in high sentiment period than in low. Volatility of earning and surprise of earning are have less effect to trading activity in low sentiment period. It seems whether earning has strong grow or decline, investor completely do not care. The coefficient of company age in low sentiment is larger than in high. It seems when investor have low sentiment, they will concentrate on trading older company. And when they have high sentiment, they seems less care about it, robust return of old company has less attraction. The coefficient of Book-to-Market ratio in low sentiment is higher than in high, it reveals investor will more focus fundamental vice versa.
Subjects
放空限制
投資人情緒
投資人交易
意見不一致
不確定性
Type
thesis
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