@TechReport{dp-337,
  author        = {Schmeling, Maik},
  astring       = {Maik Schmeling},
  title         = {Institutional and Individual Sentiment: Smart Money and
                  Noise Trader Risk},
  month         = {May},
  year          = {2006},
  pages         = {37},
  size          = {344},
  number        = {337},
  language      = {en},
  keywords      = {investor sentiment, predictive regressions, noise trader,
                  smart money},
  jelclass      = {G11, G12, G14},
  abstract      = {Using a new data set on investor sentiment we show that
                  institutional and individual sentiment proxy for smart
                  money and noise trader risk, respectively. First, using
                  bias-adjusted long-horizon regressions, we document that
                  institutional sentiment forecasts stock market returns at
                  intermediate horizons correctly, whereas individuals
                  consistently get the direction wrong. Second, VEC models
                  show that institutional sentiment forecasts mean-reversion
                  whereas individuals forecast trend continuation. Finally,
                  institutional investors take into account expected
                  individual sentiment when forming their expectations in a
                  way that higher (lower) expected sentiment of individuals
                  lowers (increases) institutional return forecasts.
                  Individuals neglect the information contained in
                  institutional sentiment.}
}