Consumer confidence and asset prices: Some empirical evidence

• 成果类型: Article
• 署名作者: Lemmon, Michael; Portniaguina, Evgenia
• 署名单位: University of Oklahoma System; University of Oklahoma - Norman; Utah System of Higher Education; University of Utah
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhj038
• 发表日期: 2006
• 页码: 1499
• 关键词: cross-section; Investor sentiment; STOCK; performance; returns; MARKET

摘要

We explore the time-series relationship between investor sentiment and the small-stock premium using consumer confidence as a measure of investor optimism. We estimate the components of consumer confidence related to economic fundamentals and investor sentiment. After controlling for the time variation of beta, we study the time-series variation of the pricing error with sentiment. Over the last 25 years, investor sentiment measured using consumer confidence forecasts the returns of small stocks and stocks with low institutional ownership in a manner consistent with the predictions of models based on noise-trader sentiment. Sentiment does not appear to forecast time-series variation in the value and momentum premiums.