摘要： In the famous “orange juice puzzle,” a large amount of inexplicable price volatility arises in frozen concentrated orange juice (FCOJ) futures contracts. Temperature is considered the most important fundamental factor in this market, but its explanatory power is low and limited, so are those of various consumer and stock market sentiment measures that reflect the noise traders׳ opinions. In contrast, shifts in a survey-based index called the Consensus Bullish Sentiment Index (CBSI), which reflect the overall opinions of professional investors, provide the largest explanatory power among all measures. Further analysis reveals that bullish shifts in the CBSI are followed by higher FCOJ returns but lower conditional volatility, thus supporting the notion that the index reflects the smart money effect. •Temperature provides only very limited explanatory ability of the orange juice puzzle.•Various investor sentiment indices also explain a limited proportion of FCOJ return variation.•Consumer and stock market sentiments capture noise trader risk.•The CBSI that reflects the smart money effect provides the highest explanatory power. 出版者： Elsevier B.V 出版日期： 2016-06-01 出處： Journal of financial markets (Amsterdam, Netherlands), 2016-06, Vol.29, p.47-65 資源來源： Elsevier ScienceDirect Journals Complete 版權： 2015 Elsevier B.V. 識別號： ISSN: 1386-4181 識別號： EISSN: 1878-576X 識別號： DOI: 10.1016/j.finmar.2015.11.001
