Sentiment Metrics and Investor Demand
研究发现情绪指标捕捉的是机构投资者而非个人投资者的需求冲击，并揭示风险管理、动量交易等机构投资风格解释了情绪与机构行为间的关系。
ABSTRACT Recent work suggests that sentiment traders shift from safer to more speculative stocks when sentiment increases. Exploiting these cross‐sectional patterns and changes in share ownership, we find that sentiment metrics capture institutional rather than individual investors’ demand shocks. We investigate the underlying economic mechanisms and find that common institutional investment styles (e.g., risk management, momentum trading) explain a significant portion of the relation between institutions and sentiment.