Beyond Fundamentals: Investor Sentiment and Exchange Rate Forecasting
利用独特数据集研究机构与私人投资者情绪对欧元/美元汇率的中期预测能力，发现机构情绪有显著预测力，而私人情绪预测力不稳定且依赖样本。
Abstract This paper examines the relation between investor sentiment and exchange rate movements. We use a unique dataset of private and institutional investors’ sentiment and discover that institutional sentiment significantly predicts returns over medium‐term horizons in the EUR/USD market. While institutional investors seem to correctly identify the medium‐run direction of this market, private investors’ sentiment emerges as a contrarian indicator at first sight, however, its predictive power fluctuates heavily and is sample dependent. Our results point towards local investors having an informational advantage in exchange rate forecasting. We test for economic relevance with a simple but realistic out‐of‐sample trading strategy which yields significant results .