caa a22 4500 388047720 CHVBK 20180307125042.0 cr unu---uuuuu 161130e199812 xx s 000 0 eng 10.2307/2331130 doi S0022109000001058 pii (NATIONALLICENCE)cambridge-10.2307/2331130 Do Measures of Investor Sentiment Predict Returns? [Elektronische Daten] It has long been market folklore that the best time to buy stocks is when individual investors are bearish, and the best time to sell is when individual investors are bullish. We examine the forecast power of three popular measures of individual investor sentiment: the level of discounts on closed-end funds, the ratio of odd-lot sales to purchases, and net mutual fund redemptions. Using data from 1933 to 1993, we find that fund discounts and net redemptions predict the size premium, the difference between small and large firm returns, but little evidence that the odd-lot ratio predicts returns. Copyright © School of Business Administration, University of Washington 1998 Neal Robert School of Business, Indiana University, 801 W. Michigan St., Indianapolis, IN 46202 Wheatley Simon M. Australian Graduate School of Management, University of New South Wales, Kensington, NSW, Australia Journal of Financial and Quantitative Analysis Cambridge University Press 33/4(1998-12), 523-547 0022-1090 33:4<523 1998 33 JFQ https://doi.org/10.2307/2331130 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2307/2331130 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Neal Robert School of Business, Indiana University, 801 W. Michigan St., Indianapolis, IN 46202 NATIONALLICENCE 700 1- Wheatley Simon M. Australian Graduate School of Management, University of New South Wales, Kensington, NSW, Australia NATIONALLICENCE 773 0- Journal of Financial and Quantitative Analysis Cambridge University Press 33/4(1998-12), 523-547 0022-1090 33:4<523 1998 33 JFQ CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence SWISSBIB 169699544 BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge