Retail Derivatives and Sentiment: A Sentiment Measure Constructed from Issuances of Retail Structured Equity Products

• 成果类型: Article
• 署名作者: Henderson, Brian J.; Pearson, Neil D.; Wang, Li
• 署名单位: George Washington University; University of Illinois System; University of Illinois Urbana-Champaign; University System of Ohio; Case Western Reserve University; University of Illinois System; University of Illinois Urbana-Champaign
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13253
• 发表日期: 2023
• 页码: 2365-2407
• 关键词: cross-section; Investor sentiment; anomalies; RISK; volatility; SALIENCE; BEHAVIOR; returns; CROWDS; stocks

摘要

We use retail structured equity product (SEP) issuances to construct a new sentiment measure for large capitalization stocks. The SEP sentiment measure predicts negative abnormal returns on the SEP reference stocks based on a variety of factor models, and also predicts returns in Fama-MacBeth regressions that include a wide range of covariates. Consistent with our interpretation that SEP issuances reflect investor sentiment, aggregate SEP issuances are highly correlated with the Baker-Wurgler sentiment index. Tobit regressions reveal that proxies for attention and sentiment predict SEP issuance volumes, providing additional evidence consistent with the hypothesis that SEP issuances reflect sentiment.