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Investor sentiment and the cross-section of stock returns

Author: Malcolm Baker; Jeffrey Wurgler; National Bureau of Economic Research.
Publisher: Cambridge, MA : National Bureau of Economic Research, ©2004.
Series: Working paper series (National Bureau of Economic Research : Online), working paper no. 10449.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
"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  Read more...
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Malcolm Baker; Jeffrey Wurgler; National Bureau of Economic Research.
OCLC Number: 56323720
Notes: Title from PDF file as viewed on 1/12/2005.
Description: 1 online resource.
Series Title: Working paper series (National Bureau of Economic Research : Online), working paper no. 10449.
Responsibility: Malcolm Baker, Jeffrey Wurgler.

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.

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