u et al. (2009),[9] trading volume is a good proxy for investor sentiment.

High
(low) trading volume on a particular stock leads to appreciating (depreciating) of
its price. Extreme one-day returns are also reported to draw investors’ attention
(Barber & Odean (2008)[10]). Noise traders tend to buy (sell) stocks with high
(low) returns. Whaley (2001)[11] and Baker & Wurgler (2007)[7] suggest Chicago
Board Options Exchange (CBOE) Volatility Index (VIX) as an alternative market
sentiment measure. Credit Suisse Fear Barometer (CSFB) is based on prices of zero-
premium collars that expire in three months. This index is sometimes used as an
alternative to VIX index.[12] The Acertus Market Sentiment Indicator (AMSI)
incorporates five variables (in descending order of weight in the indicator):
Price/EarninKumar & Lee (2006)[20]). The study shows that retail investor
transactions "...are systematically correlated — that is, individuals buy (or sell)
stocks in concert". Initial public offering (IPO) of a company generates a big
amount of information that can potentially be used to proxy investor sentiment.
Ljungqvist et al. (2006)[21] and Baker & Wurgler (2007)[7] report IPO first-day
returns and IPO volume the most promising candidates for predicting investor
attention to a particular stock. It is not surprising that high investments in
advertisement of a particular company results in a higher investor attention to
corresponding stock (Grullon et al. (2004)[22]). The authors in Chemmanur & Yan
(2009)[23] provide an evidence that "...a greater amount of advertising is
associated with a larger stock return in the advertising year but a smaller stock
return in the year subsequent to the advertising year". Equity issues over total
new issues ratio, insider trading data, and other financial indicators are reported
in Baker & Wurgler (2007)[7] to be useful in investor attention measurement
procedure.

The aforementioned market-based measures have one important drawback. In

particular, according to Da et al. (2014):[12] "Although market-based measures have
the advantage of being readily available at a relatively high frequency, they have
the disadvantage of being the equilibrium outcome of many economic forces other
than investor sentiment." In other words, one can never be sure that a particular
market-based indicator was driven due to investor attention. Moreover, some
indicators can work pro-cyclical. For example, a high trading volume can draw an
investor attention. As a result, the trading volume grows even higher. This, in
turn, leads to even bigger investor attention. Overall, market-based indicators are
playing a very important role in measuring investor attention. However, an investor
should always try to make sure that no other variables can drive the resultgsKumar
& Lee (2006)[20]). The study shows that retail investor transactions "...are
systematically correlated — that is, individuals buy (or sell) stocks in concert".
Initial public offering (IPO) of a company generates a big amount of information
that can potentially be used to proxy investor sentiment. Ljungqvist et al. (2006)
[21] and Baker & Wurgler (2007)[7] report IPO first-day returns and IPO volume the
most promising candidates for predicting investor attention to a particular stock.
It is not surprising that high investments in advertisement of a particular company
results in a higher investor attention to corresponding stock (Grullon et al.
(2004)[22]). The authors in Chemmanur & Yan (2009)[23] provide an evidence that
"...a greater amount of advertising is associated with a larger stock return in the
advertising year but a smaller stock return in the year subsequent to the
advertising year". Equity issues over total new issues ratio, insider trading data,
and other financial indicators are reported in Baker & Wurgler (2007)[7] to be
useful in investor attention measurement procedure.

The aforementioned market-based measures have one important drawback. In

particular, according to Da et al. (2014):[12] "Although market-based measures have
the advantage of being readily available at a relatively high frequency, they have
the disadvantage of being the equilibrium outcome of many economic forces other
than investor sentiment." In other words, one can never be sure that a particular
market-based indicator was driven due to investor attention. Moreover, some
indicators can work pro-cyclical. For example, a high trading volume can draw an
investor attention. As a result, the trading volume grows even higher. This, in
turn, leads to even bigger investor attention. Overall, market-based indicators are
playing a very important role in measuring investor attention. However, an investor
should always try to make sure that no other variables can drive the result Ratio
(a measure of stock market valuations); price momentum (a measure of market
psychology); Realized Volatility (a measure of recent historical risk); High Yield
Bond Returns (a measure of credit risk); and the TED spread (a measure of systemic
financial risk). Each of these factors provides a measure of market sentiment
through au et al. (2009),[9] trading volume is a good proxy for investor sentiment.
High (low) trading volume on a particular stock leads to appreciating
(depreciating) of its price. Extreme one-day returns are also reported to draw
investors’ attention (Barber & Odean (2008)[10]). Noise traders tend to buy (sell)
stocks with high (low) returns. Whaley (2001)[11] and Baker & Wurgler (2007)[7]
suggest Chicago Board Options Exchange (CBOE) Volatility Index (VIX) as an
alternative market sentiment measure. Credit Suisse Fear Barometer (CSFB) is based
on prices of zero-premium collars that expire in three months. This index is
sometimes used as an alternative to VIX index.[12] The Acertus Market SentimeKumar
& Lee (2006)[20]). The study shows that retail investor transactions "...are
systematically correlated — that is, individuals buy (or sell) stocks in concert".
Initial public offering (IPO) of a company generates a big amount of information
that can potentially be used to proxy investor sentiment. Ljungqvist et al. (2006)
[21] and Baker & Wurgler (2007)[7] report IPO first-day returns and IPO volume the
most promising candidates for predicting investor attention to a particular stock.
It is not surprising that high investments in advertisement of a particular company
results in a higher investor attention to corresponding stock (Grullon et al.
(2004)[22]). The authors in Chemmanur & Yan (2009)[23] provide an evidence that
"...a greater amount of advertising is associated with a larger stock return in the
advertising year but a smaller stock return in the year subsequent to the
advertising year". Equity issues over total new issues ratio, insider trading data,
and other financial indicators are reported in Baker & Wurgler (2007)[7] to be
useful in investor attention measurement procedure.

The aforementioned market-based measures have one important drawback. In

particular, according to Da et al. (2014):[12] "Although market-based measures have
the advantage of being readily available at a relatively high frequency, they have
the disadvantage of being the equilibrium outcome of many economic forces other
than investor sentiment." In other words, one can never be sure that a particular
market-based indicator was driven due to investor attention. Moreover, some
indicators can work pro-cyclical. For example, a high trading volume can draw an
investor attention. As a result, the trading volume grows even higher. This, in
turn, leads to even bigger investor attention. Overall, market-based indicators are
playing a very important role in measuring investor attention. However, an investor
should always try to make sure that no other variables can drive the resultt
Indicator (AMSI) incorporates five variables (in descending order of weight in the
indicator): Price/Earnings Ratio (a measure of stock market valuations); price
momentum (a measure of market psychology); Realized Volatility (a measure of recent
historical risk); High Yield Bond Returns (a measure of credit risk); and the TED
spread (a measure of systemic financial risk). Each of these factors provides a
measure of market sentimentu et al. (2009),[9] trading volume is a good proxy for
investor sentiment. High (low) trading volume on a particular stock leads to
appreciating (depreciating) of its price. Extreme one-day returns are also reported
to draw investors’ attention (Barber & Odean (2008)[10]). Noise traders tend to buy
(sell) stocks with high (low) returns. Whaley (2001)[11] and Baker & Wurgler (2007)
[7] suggest Chicago Board Options Exchange (CBOE) Volatility Index (VIX) as an
alternative market sentiment measure. Credit Suisse Fear Barometer (CSFB) is based
on prices of zero-premium collars that expiKumar & Lee (2006)[20]). The study shows
that retail investor transactions "...are systematically correlated — that is,
individuals buy (or sell) stocks in concert". Initial public offering (IPO) of a
company generates a big amount of information that can potentially be used to proxy
investor sentiment. Ljungqvist et al. (2006)[21] and Baker & Wurgler (2007)[7]
report IPO first-day returns and IPO volume the most promising candidates for
predicting investor attention to a particular stock. It is not surprising that high
investments in advertisement of a particular company results in a higher investor
attention to corresponding stock (Grullon et al. (2004)[22]). The authors in
Chemmanur & Yan (2009)[23] provide an evidence that "...a greater amount of
advertising is associated with a larger stock return in the advertising year but a
smaller stock return in the year subsequent to the advertising year". Equity issues
over total new issues ratio, insider trading data, and other financial indicators
are reported in Baker & Wurgler (2007)[7] to be useful in investor attention
measurement procedure.

The aforementioned market-based measures have one important drawback. In

particular, according to Da et al. (2014):[12] "Although market-based measures have
the advantage of being readily available at a relatively high frequency, they have
the disadvantage of being the equilibrium outcome of many economic forces other
than investor sentiment." In other words, one can never be sure that a particular
market-based indicator was driven due to investor attention. Moreover, some
indicators can work pro-cyclical. For example, a high trading volume can draw an
investor attention. As a result, the trading volume grows even higher. This, in
turn, leads to even bigger investor attention. Overall, market-based indicators are
playing a very important role in measuring investor attention. However, an investor
should always try to make sure that no other variables can drive the resultre in
three months. This index is sometimes used as an alternative to VIX index.[12] The
Acertus Market Sentiment Indicator (AMSI) incorporates five variables (in
descending order of weight in the indicator): Price/Earnings Ratio (a measure of
stock market valuations); price momentum (a measure of market psychology); Realized
Volatility (a measure of recent historical risk); High Yield Bond Returns (a
measure of credit risk); and the TED spread (a measure of systemic financial risk).
Each of these factors provides a measure of market sentiu et al. (2009),[9] trading
volume is a good proxy for investor sentiment. High (low) trading volume on a
particular stock leads to appreciating (depreciating) of its price. Extreme one-day
returns are also reported to draw investors’ attention (Barber & Odean (2008)[10]).
Noise traders tend to buy (sell) stocks with high (low) returns. Whaley (2001)[11]
and Baker & Wurgler (2007)[7] suggest Chicago Board Options Exchange (CBOE)
Volatility Index (VIX) as an alternative market sentiment measure. Credit Suisse
Fear Barometer (CSFB) is based on prices of zero-premium collars that expire in
three months. This index is sometimes used as an alternative to VIX index.[12] The
Acertus Market Sentiment Indicator (AMSI) incorporates five variables (in
descending order of weight in the indicator): Price/EarniKumar & Lee (2006)[20]).
The study shows that retail investor transactions "...are systematically correlated
— that is, individuals buy (or sell) stocks in concert". Initial public offering
(IPO) of a company generates a big amount of information that can potentially be
used to proxy investor sentiment. Ljungqvist et al. (2006)[21] and Baker & Wurgler
(2007)[7] report IPO first-day returns and IPO volume the most promising candidates
for predicting investor attention to a particular stock. It is not surprising that
high investments in advertisement of a particular company results in a higher
investor attention to corresponding stock (Grullon et al. (2004)[22]). The authors
in Chemmanur & Yan (2009)[23] provide an evidence that "...a greater amount of
advertising is associated with a larger stock return in the advertising year but a
smaller stock return in the year subsequent to the advertising year". Equity issues
over total new issues ratio, insider trading data, and other financial indicators
are reported in Baker & Wurgler (2007)[7] to be useful in investor attention
measurement procedure.

The aforementioned market-based measures have one important drawback. In

particular, according to Da et al. (2014):[12] "Although market-based measures have
the advantage of being readily available at a relatively high frequency, they have
the disadvantage of being the equilibrium outcome of many economic forces other
than investor sentiment." In other words, one can never be sure that a particular
market-based indicator was driven due to investor attention. Moreover, some
indicators can work pro-cyclical. For example, a high trading volume can draw an
investor attention. As a result, the trading volume grows even higher. This, in
turn, leads to even bigger investor attention. Overall, market-based indicators are
playing a very important role in measuring investor attention. However, an investor
should always try to make sure that no other variables can drive the resultngs
Ratio (a measure of stock market valuations); price momentum (a measure of market
psychology); Realized Volatility (a measure of recent historical risk); High Yield
Bond Returns (a measure of credit risk); and the TED spread (a measure of systemic
financial risk). Each of these factors provides a measure of market sentu et al.
(2009),[9] trading volume is a good proxy for investor sentiment. High (low)
trading volume on a particular stock leads to appreciating (depreciating) of its
price. Extreme one-day returns are also reported to draw investors’ attention
(Barber & Odean (2008)[10]). Noise traders tend to buy (sell) stocks with high
(low) returns. Whaley (2001)[11] and Baker & Wurgler (2007)[7] suggest Chicago
Board Options Exchange (CBOE) Volatility Index (VIX) as an alternative market
sentiment measure. Credit Suisse Fear Barometer (CSFB) is based on prices of zero-
premium collars that expire in three months. This index is sometimes used as an
alternative to VIX index.[12] The Acertus Market Sentiment Indicator (AMSI)
incorporates five variables (in descending order of weight in the indicator):
Price/Earnings Ratio (a measure of stock market valuations); price momentum (a
measure of market psychology); Realized Volatility (a measure of recent historical
risk); High Yield Bond Returns (a measure of credit risk); and the TED spread (a
measure of systemic financial risk). Each of these factors provides a measure of
market senu et al. (2009),[9] trading volume is a good proxy for investor
sentiment. High (low) trading volume on a particular stock leads to appreciating
(depreciating) of its price. Extreme one-day returns are also reported to draw
investors’ attention (Barber & Odean (2008)[10]). Noise traders tend to buy (sell)
stocks with high (low) returns. Whaley (2001)[11] and Baker & Wurgler (2007)[7]
suggest Chicago Board Options Exchange (CBOE) Volatility Index (VIX) as an
alternative market sentiment measure. Credit Suisse Fear Barometer (CSFB) is based
on prices of zero-premium collars that expire in three months. This index is
sometimes used as an alternative to VIX index.[12] The Acertus Market Sentiment
Indicator (AMSI) incorporates five variables (in descending order of weight in the
indicator): Price/Earnings Ratio (a measure of stock market valuations); price
momentum (a measure of market psychology); Realized Volatility (a measure of recent
historical risk); High Yield Bond Returns (a measure of credit risk); and the TED
spread (a measure of systemic financial risk). Each of these factors provides a
measure of market seu et al. (2009),[9] trading volume is a good proxy for investor
sentiment. High (low) trading volume on a particular stock leads to appreciating
(depreciating) of its price. Extreme one-day returns are also reported to draw
investors’ attention (Barber & Odean (2008)[10]). Noise traders tend to buy (sell)
stocks with high (low) returns. Whaley (2001)[11] and Baker & Wurgler (2007)[7]
suggest Chicago Board Options Exchange (CBOE) Volatility Index (VIX) as an
alternative market sentiment measure. Credit Suisse Fear Barometer (CSFB) is based
on prices of zero-premium collars that expire in three months. This index is
sometimes used as an alternative to VIX index.[12] The Acertus Market Sentiment
Indicator (AMSI) incorporates five variables (in descending order of weight in the
indicator): Price/Earnings Ratio (a measure of stock market valuations); price
momentum (a measure of market psychology); Realized Volatility (a measure of recent
historical risk); High Yield Bond Returns (a measure of credit risk); and the TED
spread (a measure of systemic financial risk). Each of these factors provides a
measure of market seu et al. (2009),[9] trading volume is a good proxy for investor
sentiment. High (low) trading volume on a particular stock leads to appreciating
(depreciating) of its price. Extreme one-day returns are also reported to draw
investors’ attention (Barber & Odean (2008)[10]). Noise traders tend to buy (sell)
stocks with high (low) returns. Whaley (2001)[11] and Baker & Wurgler (2007)[7]
suggest Chicago Board Options Exchange (CBOE) Volatility Index (VIX) as an
alternative market sentiment measure. Credit Suisse Fear Barometer (CSFB) is based
on prices of zero-premium collars that expire in three months. This index is
sometimes used as an alternative to VIX index.[12] The Acertus Market Sentiment
Indicator (AMSI) incorporates five variables (in descending order of weight in the
indicator): Price/Earnings Ratio (a measure of stock market valuations); price
momentum (a measure of market psychology); Realized Volatility (a measure of recent
historical risk); High Yield Bond Returns (a measure of credit risk); and the TED
spread (a measure of systemic financial risk). Each of these factors provides a
measure of market sentu et al. (2009),[9] trading volume is a good proxy for
investor sentiment. High (low) trading volume on a particular stock leads to
appreciating (depreciatu et al. (2009),[9] trading volume is a good proxy for
investor sentiment. High (low) trading volume on a particular stock leads to
appreciating (depreciating) of its price. Extreme one-day returns are also reported
to draw investors’ attention (Barber & Odean (2008)[10]). Noise traders tend to buy
(sell) stocks with high (low) returns. Whaley (2001)[11] and Baker & Wurgler (2007)
[7] suggest Chicago Board Options Exchange (CBOE) Volatility Index (VIX) as an
alternative market sentiment measure. Credit Suisse Fear Barometer (CSFB) is based
on prices of zero-premium collars that expire in three months. This index is
sometimes used as an alternative to VIX index.[12] The Acertus Market Sentiment
Indicator (AMSI) incorporates five variables (in descending order of weight in the
indicator): Price/Earnings Ratio (a measure of stock market valuations); price
momentum (a measure of market psychology); Realized Volatility (a measure of recent
historical risk); High Yield Bond Returns (a measure of credit risk); and the TED
spread (a measure of systemic financial risk). Each of these factors provides a
measure of market sentiment through a unique lens, and together they may offer a
more ring) of its price. Extreme one-day returns are also reported to draw
investors’ attention (Barber & Odean (2008)[10]). Noise traders tend to buy (sell)
stocks with high (low) returns. Whaley (2001)[11] and Baker & Wurgler (2007)[7]
suggest Chicago Board Options Exchange (CBOE) Volatility Index (VIX) as an
alternative market sentiment measure. Credit Suisse Fear Barometer (CSFB) is based
on prices of zero-premium collars that expire in three months. This index is
sometimes used as an alternative to VIX index.[12] The Acertus Market Sentiment
Indicator (AMSI) incorporates five variables (in descending order of weight in the
indicator): Price/Earnings Ratio (a measure of stock market valuations); price
momentum (a measure of market psychology); Realized Volatility (a measure of recent
historical risk); High Yield Bond Returns (a measure of credit risk); and the TED
spread (a measure of systemic financial risk). Each of these factors provides a
measure of market sentiment through a unique lens, and together they may offer a
more riment through a unique lens, and together they may offer a more rntiment
through a unique lens, and together they may offer a more rntiment through a unique
lens, and together they may offer a more rtiment through a unique lens, and
together they may offer a more riment through a unique lens, and together they may
offer a more rment through a unique lens, and together they may offer a more r
through a unique lens, and together they may offer a more r unique lens, and
together they may offer a more r