Investor sentiment and the cross-section of stock returns
Investor sentiment and the cross-section of stock returns
复制标题
DOI：
10.1111/j.1540-6261.2006.00885.x
复制
发表时间：
2006-08-01
影响因子：
8
通讯作者：
Wurgler, Jeffrey
中科院分区：
文献类型：
--
作者：
Baker, Malcolm;Wurgler, Jeffrey
我们研究了投资者情绪如何影响股票收益的横截面。我们预测，一波投资者情绪对那些估值高度主观且难以套利的证券有更大的影响。与这一预测相一致，我们发现，当情绪的周期性代理较低时，小型股、年轻股、高波动性股票、无盈利股票、无股息股票、极端增长股票和困境股票的后续回报率相对较高。另一方面，当市场情绪高涨时，这些类别的股票的后续回报率相对较低。
We study how investor sentiment affects the cross-section of stock returns. We predict that a wave of investor sentiment has larger effects on securities whose valuations are highly subjective and difficult to arbitrage. Consistent with this prediction, we find that when beginning-of-period proxies for sentiment are low, subsequent returns are relatively high for small stocks, young stocks, high volatility stocks, unprofitable stocks, non-dividend-paying stocks, extreme growth stocks, and distressed stocks. When sentiment is high, on the other hand, these categories of stock earn relatively low subsequent returns.