The short of it: Investor sentiment and anomalies

• 成果类型: Article
• 署名作者: Stambaugh, Robert F.; Yu, Jianfeng; Yuan, Yu
• 署名单位: University of Pennsylvania; University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.12.001
• 发表日期: 2012
• 页码: 288-302
• 关键词: Investor sentiment; anomalies

摘要

This study explores the role of investor sentiment in a broad set of anomalies in cross-sectional stock returns. We consider a setting in which the presence of market-wide sentiment is combined with the argument that overpricing should be more prevalent than underpricing, due to short-sale impediments. Long-short strategies that exploit the anomalies exhibit profits consistent with this setting. First, each anomaly is stronger (its long-short strategy is more profitable) following high levels of sentiment. Second, the short leg of each strategy is more profitable following high sentiment. Finally, sentiment exhibits no relation to returns on the long legs of the strategies. (C) 2011 Elsevier B.V. All rights reserved.