HIGHLIGHTS
SUMMARY
The authors investigated the relationship between investor sentiment and the proportion of informed trading in an attempt to prove that increasing (decreasing) investor sentiment can reduce the information content of asset prices and increase their volatility. Of 23 in view of the two-way feedback between investor sentiment and historical price changes, the sustained increase (decrease) in sentiment can be regarded as the origin of the bubbles; thus, the existing sentiment index also needs to be expanded to reflect the existence of sentiment feedback. The authors take the extrapolation belief as the micro-mechanism . . .
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