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Investor Sntiment, Market Timing and Futures Returns



This study examines whether actual trader position-based sentiment index is useful for predicting returns in the S&P 500 index future market. The result show that large speculator sentiment is a price continuation indicator, whereas large hedger sentiment is a contrary indicator. Small trader sentiment hardly forecasts future market movement. Moreover extreme large trader sentiments and the combination of extreme large reader sentiments tend to provide more reliable forecasts. These findings suggest that large speculators possess superior timing ability in the market.