Noise trader sentiment and the behavior of futures prices
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.
Economics, Agricultural, Economics, Finance
University of Illinois - Urbana-Champaign
Networked Digital Library of Theses and Dissertations
University of Illinois at Urbana-Champaign