Disentangling investor sentiment: Mood and household attitudes towards the economy
| Autor: | Dimitrios Kostopoulos, Steffen Meyer |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
040101 forestry
Organizational Behavior and Human Resource Management Economics and Econometrics 050208 finance Index (economics) Financial markets 05 social sciences Financial market Asset allocation 04 agricultural and veterinary sciences language.human_language Direct measure Trading behavior German Sentiment Mood Economy 0502 economics and business language Economics 0401 agriculture forestry and fisheries Proxy (statistics) Individual investor Music |
| Zdroj: | Kostopoulos, D & Meyer, S 2018, ' Disentangling investor sentiment : Mood and household attitudes towards the economy ', Journal of Economic Behavior and Organization, vol. 155, pp. 28-78 . https://doi.org/10.1016/j.jebo.2018.08.003 |
| ISSN: | 0167-2681 |
| DOI: | 10.1016/j.jebo.2018.08.003 |
| Popis: | In this paper, we disentangle investor sentiment into two components: mood and household attitudes towards the economy. We apply acoustical analysis to the daily top ten of music downloads in iTunes for Germany to derive a novel and direct measure for mood. We match this novel mood index with trading data of German individual investors. We find that when mood is positive, investors purchase more, particularly trading into risky and out of less-risky securities. To proxy for household attitudes towards the economy, we use an already existing index (FEARS), which bases on Google search volumes of negative economic terms. We find that FEARS drives trading in the same fashion as in previous studies and that these effects significantly depend on mood. We conclude that there are two sources of sentiment driving individual investors, which significantly interact. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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