Institutional investor sentiment and aggregate stock returns
研究了机构投资者情绪能否预测股票市场回报，发现机构交易者知情且其情绪有助于股价回归内在价值，对理解市场效率和价格发现有用。
Abstract This paper examines the equity market return predictability of institutional investor sentiment, in comparison to individual investor sentiment. Our findings suggest that institutional traders are informed and that their sentiment helps to tilt stock prices towards the intrinsic value. This is because the sentiment of institutions encompasses news regarding expectations on future cash flows of underlying firms that impounds itself into future price expectations. In this study, we add to the large number of studies that investigate the role and implications of investor sentiment, which has long been viewed as a pure behavioural phenomenon, on market efficiency and price discovery.