This is a summary of links featured on Quantocracy on Thursday, 08/12/2021. To see our most recent links, visit the Quant Mashup. Read on readers!
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Relative Sentiment and Market Returns [Alpha Architect]This paper studies the relationship between aggregate investor attention and subsequent market returns over the following week. The authors create two different investor attention indicatorsone for aggregate retail attention (ARA) and one for aggregate institutional attention (AIA). ARA is found by taking the market-weighted average of stock-level retail attention, which itself is found by