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.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Agricultural Economics

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2011

Author dc:creator

• Sanders, Dwight Robert

Contributors dc:contributor

• Leuthold, Raymond M.

• Economics, Agricultural
• Economics, Finance

Statement dc:rights

• Copyright 1995 Sanders, Dwight Robert

Language dc:language

eng

Identifier

AAI9624479
(UMI)AAI9624479

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/20133