Speculation Sentiment
利用杠杆ETF一级市场的套利活动来度量总体非知情赌博式需求（即投机情绪），发现该指标与同期市场回报负相关（在下跌市场中看涨），并能负向预测未来回报，表明投机情绪导致全市场价格扭曲并随后反转。
Abstract I exploit the leveraged exchange-traded funds’ (ETFs’) primary market to measure aggregate, uninformed, gambling-like demand, that is, speculation sentiment. The leveraged ETFs’ primary market is a novel setting that provides observable arbitrage activity attributed to correcting mispricing between ETFs’ shares and their underlying assets. The arbitrage activity proxies for the magnitude and direction of speculative demand shocks and I use them to form the Speculation Sentiment Index. The measure negatively relates to contemporaneous market returns (e.g., it is bullish in down markets) and negatively predicts returns. The results are consistent with speculation sentiment causing market-wide price distortions that later reverse.