Investor sentiment and the cross-section of stock returns

• 成果类型: Article
• 署名作者: Baker, Malcolm; Wurgler, Jeffrey
• 署名单位: Harvard University; National Bureau of Economic Research; New York University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2006.00885.x
• 发表日期: 2006
• 页码: 1645-1680
• 关键词: market; RISK; INFORMATION; performance; arbitrage; issues; MODEL; too

摘要

We study how investor sentiment affects the cross-section of stock returns. We predict that a wave of investor sentiment has larger effects on securities whose valuations are highly subjective and difficult to arbitrage. Consistent with this prediction, we find that when beginning-of-period proxies for sentiment are low, subsequent returns are relatively high for small stocks, young stocks, high volatility stocks, unprofitable stocks, non-dividend-paying stocks, extreme growth stocks, and distressed stocks. When sentiment is high, on the other hand, these categories of stock earn relatively low subsequent returns.