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Trading on mood? Analysing the efficacy of sentiment and behavioural biases in predicting stock market movements and investor behaviour
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Traditional finance theory rests on the assumption that investors are rational in aggregation. However, a wealth of behavioural finance research has shown this not to be the case. This paper examines whether biases that have been evidenced to impact individual’s behaviour can be witnessed in the stock market as a whole, and whether these can be utilised as a bellwether to future price changes. The results mirror the findings of the behaviourists, evidencing a susceptibility to biases among investors, and a promising forecasting ability when incorporated into a systematic volatility trading model.
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Asset pricing Investing