Investor sentiment, misreaction, and the skewness‐return relationship

• Published in: The journal of futures markets Vol. 41; no. 9; pp. 1427 - 1455
• Main Author: Chen, Chin‐Ho
• Format: Journal Article
• Language: English
• Published: Hoboken Wiley Periodicals Inc 01.09.2021
• Subjects: Economic crisis; Investor behavior; investor sentiment; Investors; Market timing; misreaction; Pessimism; risk‐neutral skewness; Securities markets; Skewness; Volatility

This study examines the effect of investor sentiment on misreaction and explores the time‐series relationship between risk‐neutral skewness (RNS) and subsequent stock market returns contingent on sentiment‐induced overreaction. Using the adjusted put‐call implied volatility spread as a misreaction p...