The long of it: Odds that investor sentiment spuriously predicts anomaly returns

• 成果类型: Article
• 署名作者: Stambaugh, Robert F.; Yu, Jianfeng; Yuan, Yu
• 署名单位: University of Pennsylvania; National Bureau of Economic Research; University of Minnesota System; University of Minnesota Twin Cities; Shanghai Jiao Tong University; University of Pennsylvania; Tsinghua University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.07.008
• 发表日期: 2014
• 页码: 613-619
• 关键词: Investor sentiment; anomalies; Spurious regressors

摘要

Extremely long odds accompany the chance that spurious-regression bias accounts for investor sentiment's observed role in stock-return anomalies. We replace investor sentiment with a simulated persistent series in regressions reported by Stambaugh, Yu, and Yuan (2012), who find higher long-short anomaly profits following high sentiment, due entirely to the short leg. Among 200 million simulated regressors, we find none that support those conclusions as strongly as investor sentiment. The key is consistency across anomalies. Obtaining just the predicted signs for the regression coefficients across the 11 anomalies examined in the above study occurs only once for every 43 simulated regressors. (C) 2014 Elsevier B.V. All rights reserved.