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Investor sentiment and the cross-section of stock returns
| Content Provider | Library of Congress - Books/Printed Material |
|---|---|
| Author | Wurgler, Jeffrey Baker, Malcolm (Malcolm P.) |
| Temporal Coverage | 2004 |
| Copyright Year | 2004 |
| Abstract | "We examine how investor sentiment affects the cross-section of stock returns. Theory predicts that a broad wave of sentiment will disproportionately affect stocks whose valuations are highly subjective and are difficult to arbitrage. We test this prediction by studying how the cross-section of subsequent stock returns varies with proxies for beginning-of-period investor sentiment. When sentiment is low, subsequent returns are relatively high on smaller stocks, high volatility stocks, unprofitable stocks, non-dividend-paying stocks, extreme-growth stocks, and distressed stocks, consistent with an initial underpricing of these stocks. When sentiment is high, on the other hand, these patterns attenuate or fully reverse. The results are consistent with predictions and appear unlikely to reflect an alternative explanation based on compensation for systematic risk"--National Bureau of Economic Research web site. |
| Language | English |
| Publisher | National Bureau of Economic Research |
| Publisher Place | Cambridge, MA |
| Part of Series | Catalog |
| Requires | HTML5 supported browser |
| Access Restriction | Open |
| Subject Keyword | Attitudes Prices Stockholders Stocks |
| Subject Domain (in LCSH) | Stockholders--Attitudes |
| Subject Domain (in LCSH) | Stocks--Prices |
| Subject Domain (in LCC) | HB1 |
| Content Type | Text |
| Resource Type | Book |
