Do Measures of Investor Sentiment Predict Returns?
检验了三种个人投资者情绪指标（封闭式基金折价率、零股买卖比、共同基金净赎回）对股票回报的预测能力，发现基金折价和净赎回能预测小公司相对于大公司的超额回报，但零股比没有预测力。
It has long been market folklore that the best time to buy stocks is when individual investors are bearish, and the best time to sell is when individual investors are bullish. We examine the forecast power of three popular measures of individual investor sentiment: the level of discounts on closed-end funds, the ratio of odd-lot sales to purchases, and net mutual fund redemptions. Using data from 1933 to 1993, we find that fund discounts and net redemptions predict the size premium, the difference between small and large firm returns, but little evidence that the odd-lot ratio predicts returns.