Investor Sentiment And Close-End Country Funds?

Abstract

An innovative method to estimate the duration of investor sentiment is applied to closed-end country fund returns and it finds that U.S. investor sentiment has a short life. The effects of sentiment on closed-end country fund returns are largely consistent with existing literature however, it is only apparent in daily time-series regressions. Sentiment rapidly fades at a weekly frequency and virtually disappears using monthly return observations. These results suggest that the kind of investor sentiment for country fund prices does not have a persistent component.