Investor Sentiment as Conditioning Information in Asset Pricing
155 citations recorded by the source corpus.
This paper assesses whether incorporating investor sentiment as conditioning information in asset-pricing models helps capture the impacts of the size, value, liquidity and momentum effects on risk-adjusted returns of individual stocks. We use survey sentiment measures and a composite index as proxies for investor sentiment. In our conditional framework, the size effect becomes less important in the conditional CAPM and is no longer significant in all the other models examined. Furthermore, the conditional models often capture the value, liquidity and momentum effects.
Subfields: Accounting, Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/ded8ab76948d9e81b531c84ade57e4692f1d7070
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In Accounting
In Economics and Econometrics
In Finance
Citations in the corpus
- Investor sentiment effect in stock markets: Stock characteristics or country-specific factors? (2013, background): “…2003 and Baker and Stein, 2004), the share of equity issues in total equity and debt issues (Baker and Wurgler, 2000), insider trading (Seyhun, 1998) or composite sentiment indexes (Brown and Cliff, 2004; Baker and Wurgler, 2006, 2007; Ho and Hung, 2009; Baker et al., 2012, and Chang et al., 2012”