Investor Sentiment in an Artificial Limit Order Market

Table 2

Profitability of the underreaction (UR) and overreaction (OR) strategies.

Panel A	UR	OR
BSV	27.49	1.73
Noise	−53.34	−7.34
Panel B	UR	OR
BSV	13.20	−4.53
Noise	−266.45	−56.05

Panel A assumes that all transactions occur at the midprice, whereas panel B assumes that buy (sell) orders are executed at the best ask (bid).