Sentiment Indicators
Investors/traders track a range of sentiments (consumer, investor, analyst, forecaster, management), searching for indications of the next swing of the psychological pendulum that paces financial markets. Usually, they view sentiment as a contrarian indicator for market turns (bad means good — it’s darkest before the dawn). These blog entries relate to relationships between human sentiment and the stock market.
Exploit Media Bias in Hedge Fund Coverage? July 20, 2010
…evidence indicates that hedge fund investors may be able to gain an edge by limiting consideration to funds with recent corporate releases but no other recent media coverage.
Sentiment from Google Insights and Return Continuation July 15, 2010
…evidence from limited tests suggests that online search activity may help predict which recent winning and losing stocks will continue winning and losing.
Do Investors Care About “the Way Things Are Going”? June 7, 2010
…evidence suggests that public sociopolitical satisfaction and stock market valuation move substantially in step, with no way to exploit the broad sentiment measure in stock market trading.
Mark Hulbert’s Stock Newsletter Sentiment Index April 16, 2010
…evidence from simple tests indicate that, while results are mixed, the Hulbert Stock Newsletter Sentiment Index may have some power to predict future stock market returns.
When Market Sentiment Works April 9, 2010
…evidence indicates that a high level of investor sentiment during a bull market may be a useful predictor of low future returns for speculative stocks. Sentiment has little or no power to predict returns during bear markets or for non-speculative stocks.
Blogger Sentiment Analysis April 1, 2010
…analysis of Ticker Sense Blogger Sentiment Poll results indicates that aggregate blogger sentiment is perhaps, like many sentiment indicators, somewhat contrarian with respect to future stock market behavior.
Why the Experts Don’t Rule the World? February 25, 2010
…investors may want to consider how their cultural predispositions affect their processing of reported views of experts on financial markets.
Testing the Equity Mutual Fund Liquidity Ratio February 11, 2010
…evidence from a simple test on a small sample supports belief that the aggregate equity mutual fund liquidity ratio has some power to predict future stock market returns.
Unadmired Stocks Beat Admired Ones? January 27, 2010
…the stocks of companies unadmired by the ostensibly well-informed may well outperform the stocks of the companies admired.
Using Commitments of Traders Reports to Time Asset Allocations January 11, 2010
…evidence from a limited sample period indicates that information in Commitments of Traders reports regarding aggregate positions (hedging pressure) of commercial and non-commercial futures traders may support successful timing of commodities and equities markets.
Testing the Rydex Asset Ratio January 5, 2010
…evidence from simple tests indicates that Rydex asset ratios may have slight but inconsistent contrarian predictive power for the underlying market, so slight and inconsistent that exploitation is problematic.
Extracting the Irrational Part of VIX November 12, 2009
…evidence suggests that: (1) VIX may contain an extractable component of irrationally felt risk negatively related to stock returns; and, (2) rational investors may not have fully exploited this relationship.
Short-term Net Money Flow and Stock Returns September 18, 2009
…evidence from simple tests on a limited dataset do not support a belief that net money flow is usefully predictive of weekly or monthly stock market returns.
Aggregate Money Flow a Useful Stock Market Indicator? September 17, 2009
Research showing that equity investors in aggregate materially underperform the market via timing of purchases and sales (aggregated money flow) is extensive. See…
Margin Debt as a Stock Market Indicator August 13, 2009
…simple tests indicate that margin debt tends to lag the stock market by one or two months. Evidence does not support a belief that changes in margin debt reliably predict future stock market behavior.


