Investor sentiment and economic forces

• 成果类型: Article
• 署名作者: Shen, Junyan; Yu, Jianfeng; Zhao, Shen
• 署名单位: Iowa State University; Tsinghua University; University of Minnesota System; University of Minnesota Twin Cities; The Chinese University of Hong Kong, Shenzhen
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2017.01.001
• 发表日期: 2017
• 页码: 1-21
• 关键词: Investor sentiment; Macro risk; Factor; beta; market efficiency

摘要

Economic theory suggests that pervasive factors should be priced in the cross-section of stock returns. However, our evidence shows that portfolios with higher risk exposure do not earn higher returns. More importantly, our evidence shows a striking two-regime pattern for all 10 macro-related factors: high-risk portfolios earn significantly higher returns than low-risk portfolios following low-sentiment periods, whereas the exact opposite occurs following high-sentiment periods. These findings are consistent with a setting in which market-wide sentiment is combined with short-sale impediments and sentiment-driven investors undermine the traditional risk-return tradeoff, especially during high-sentiment periods. (C) 2017 Elsevier B.V. All rights reserved.