Sentiment and uncertainty

• 成果类型: Article
• 署名作者: Birru, Justin; Young, Trevor
• 署名单位: University System of Ohio; Ohio State University; Tulane University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2022.05.005
• 发表日期: 2022
• 页码: 1148-1169
• 关键词: Sentiment; uncertainty; Market return predictability; Cross-section of returns; anomalies; behavioral finance

摘要

Sentiment should exhibit its strongest effects on asset prices at times when valuations are most subjective. Accordingly, we show that a one-standard-deviation increase in ag-gregate uncertainty amplifies the predictive ability of sentiment for market returns by two to four times relative to when uncertainty is at its mean. For the cross-section of returns, the predictive ability of sentiment for assets expected to be most sensitive to sentiment, including existing measures of both risk and mispricing, is substantially larger in times of higher uncertainty. The results hold for both daily and monthly proxies for sentiment and for various proxies for uncertainty.(c) 2022 Elsevier B.V. All rights reserved.