Investor Sentiment, Disagreement, and the Breadth-Return Relationship
Investor Sentiment, Disagreement, and the Breadth-Return Relationship
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DOI：
10.1287/mnsc.1120.1633
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发表时间：
2013-05-01
影响因子：
5.4
通讯作者：
Yang, Liyan
中科院分区：
文献类型：
--
作者：
Cen, Ling;Lu, Hai;Yang, Liyan
我们通过假设受制于市场情绪的投资者对总体持有偏向的信念来研究横截面的广度-收益关系。通过一个动态的多资产模型，我们预测，广度-回报关系可能是正的，也可能是负的，这取决于两种抵消力量--分歧和情绪--的相对强度。我们发现了与我们的预测一致的证据。当情绪效应较小时，广度-回报关系为正。然而，当(I)整个市场情绪的时间序列变化较高，以及(Ii)特定公司对整个市场情绪变化的风险敞口的横截面离散度较大时，这种关系变得负。我们的统一框架协调了这篇文献中几个看似不一致的实证研究，并解释了在互联网泡沫和次贷危机期间观察到的令人费解的横截面回报模式。
We study the cross-sectional breadth-return relation by assuming that investors subject to market sentiment hold a biased belief in the aggregate. With a dynamic multiasset model, we predict that the breadth-return relationship can be either positive or negative depending on the relative strength of two offsetting forces-disagreement and sentiment. We find evidence consistent with our predictions. The breadth-return relationship is positive when the sentiment effect is small. However, the relationship becomes negative when (i) the time-series variation of market-wide sentiment is high and (ii) the cross-sectional dispersion of firm-specific exposure to market-wide sentiment variation is large. Our unified framework reconciles a few seemingly inconsistent empirical studies in this literature and explains puzzling cross-sectional return patterns observed during the Internet bubble and the subprime crisis periods.