Investor Sentiment And The Cross - Section of Stock Returns  

Oleh:

Baker, Malcolm ; Wurgler, Jeffrey

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 4 (Agu. 2006), page 1645-1680.
Topik: investor; studies; rates of return; investment policy; regression analysis
Fulltext: p 1645.pdf (358.55KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We study how investor sentiment affects the cross - section of stock returns. We predict that a wave of investor sentiment has larger effects in 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, unprofictable 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.

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