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Investor Sentiment for Real Assets: The Case of Dry Bulk Shipping Market*

Papapostolou, N. C., Nomikos, N., Pouliasis, P. K. and Kyriakou, I. (2014). Investor Sentiment for Real Assets: The Case of Dry Bulk Shipping Market*. Review of Finance, 18(4), pp. 1507-1539. doi: 10.1093/rof/rft037

Abstract

We investigate the role of sentiment and its implications for real assets. Using shipping sentiment proxies that capture market expectations, valuation, and liquidity, we construct sentiment indices for the dry bulk shipping market. Evidence suggests that sentiment affects the monthly returns of real assets. The empirical findings also show that market sentiment serves as a contrarian indicator for future cycle phases in all sectors. Furthermore, a sentiment-based trading simulation exercise on the sale and purchase of vessels shows that investors can benefit from higher returns compared to the buy-and-hold benchmark, while partially offsetting the highly volatile nature of the shipping industry.

Publication Type: Article
Additional Information: This is a pre-copyedited, author-produced PDF of an article accepted for publication in Review of Finance following peer review. The version of record Papapostolou, NC, Nomikos, NK, Pouliasis, PK & Kyriakou, I (2014). Investor Sentiment for Real Assets: The Case of Dry Bulk Shipping Market*. REVIEW OF FINANCE, 18(4) pp.1507-1539 is available online at: http://dx.doi.org/10.1093/rof/rft037
Publisher Keywords: investor sentiment, real assets, cycles, trading strategies
Subjects: H Social Sciences > HG Finance
Departments: Cass Business School > Finance
URI: http://openaccess.city.ac.uk/id/eprint/6751
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