Investor sentiment and asset valuation
Investor sentiment and asset valuation
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DOI：
10.1086/427633
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发表时间：
2005-03-01
影响因子：
--
通讯作者：
Cliff, MT
中科院分区：
文献类型：
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作者：
Brown, GW;Cliff, MT
资产估值和投资者情绪之间的联系是该行业争论不休的话题。如果过度的乐观情绪使价格高于内在价值，那么随着市场价格回归基本价值，情绪高涨的时期之后应该是低回报。利用投资者情绪的调查数据，我们提供了情绪影响资产估值的证据。独立估值模型隐含的市场定价误差与情绪呈正相关。多年期的未来回报率与情绪呈负相关。这些结果是稳健的，已被证明预测股票收益率的其他变量的列入。
The link between asset valuation and investor sentiment is the subject of considerable debate in the profession. If excessive optimism drives prices above intrinsic values, periods of high sentiment should be followed by low returns, as market prices revert to fundamental values. Using survey data on investor sentiment, we provide evidence that sentiment affects asset valuation. Market pricing errors implied by an independent valuation model are positively related to sentiment. Future returns over multiyear horizons are negatively related to sentiment. These results are robust to the inclusion of other variables that have been shown to forecast stock returns.