Noise trader sentiment and the behavior of futures prices
type: CreativeWork
description: In this research, the noise trader sentiment model of De Long, Schleifer, Summers, and Waldmann is modified and applied to futures markets. The theoretical model predicts that overly optimistic (pessimistic) noise traders result in futures prices that are greater (less) than fundamental value. More specifically, the model indicates that futures prices contain a systematic bias proportional to the average level of sentiment, and market returns are predictable with the level of noise trader sentiment.
abstract: In this research, the noise trader sentiment model of De Long, Schleifer, Summers, and Waldmann is modified and applied to futures markets. The theoretical model predicts that overly optimistic (pessimistic) noise traders result in futures prices that are greater (less) than fundamental value. More specifically, the model indicates that futures prices contain a systematic bias proportional to the average level of sentiment, and market returns are predictable with the level of noise trader sentiment.
author: Sanders, Dwight Robert
language: eng
keywords: Economics, Agricultural, Economics, Finance
date published: 2011-05-07T12:29:52Z
date modified: 2026-07-22T22:25:15Z
provider: University of Illinois - Urbana-Champaign
publisher: Networked Digital Library of Theses and Dissertations
type: WebPage
source organization: University of Illinois at Urbana-Champaign

PropertyValue
property ID: Handle
value: http://hdl.handle.net/2142/20133