SJB3-019A The investor sentiment measure used for this

The investor sentiment measure used for this SJB3-019A paper is Baker and Wurgler\'s Investor Sentiment Index. This index is widely used in cross-sectional asset pricing studies (Baker and Wurgler, 2006, Baker and Wurgler, 2007 and Stambaugh et al., 2012b). Using this index, Baker and Wurgler (2006) suggest that, overall; a positive correlation exists between aggregate market returns and investor sentiment changes. They also find evidence that during high (optimistic) sentiment periods investors have higher demand for speculative stocks, and during low (pessimistic) sentiment periods investors have demand for “safety and quality” stocks. This is because when sentiment is low subsequent returns are relatively high for speculative stocks, but low for “safety and quality” stocks. Likewise, when sentiment is high the pattern reverses. In region of elongation paper I extend this sentiment analysis to the metal futures market. I find that metal futures, in general, perform better when there is low (pessimistic) sentiment rather than high (optimistic) sentiment. This finding suggests that metal futures have similar return patterns, in regards to investor sentiment, as those of “safety and quality” stocks. This promotes the potential of precious metal futures contracts as substitutes for “safety and quality” stocks when pessimistic sentiment is pervasive in the stock market.