Global, local, and contagious investor sentiment

• 成果类型: Article
• 署名作者: Baker, Malcolm; Wurgler, Jeffrey; Yuan, Yu
• 署名单位: New York University; National Bureau of Economic Research; Harvard University; National Bureau of Economic Research; University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.11.002
• 发表日期: 2012
• 页码: 272-287
• 关键词: Sentiment; Return predictability

摘要

We construct investor sentiment indices for six major stock markets and decompose them into one global and six local indices. In a validation test, we find that relative sentiment is correlated with the relative prices of dual-listed companies. Global sentiment is a contrarian predictor of country-level returns. Both global and local sentiment are contrarian predictors of the time-series of cross-sectional returns within markets: When sentiment is high, future returns are low on relatively difficult to arbitrage and difficult to value stocks. Private capital flows appear to be one mechanism by which sentiment spreads across markets and forms global sentiment. (C) 2011 Elsevier B.V. All rights reserved.