Short Term Momentum: Role of Investor Sentiment in Return Formation
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 signif...
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| Format: | Others |
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2012
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| Online Access: | http://spectrum.library.concordia.ca/973721/1/thesis_yuqingSHA.pdf Sha, Yuqing <http://spectrum.library.concordia.ca/view/creators/Sha=3AYuqing=3A=3A.html> (2012) Short Term Momentum: Role of Investor Sentiment in Return Formation. Masters thesis, Concordia University. |