Ontology type: schema:Chapter
2017
AUTHORSRichard A. Brealey , Ian A. Cooper , Evi Kaplanis
ABSTRACTWe test the effect of sentiment on returns using a sample of upstream oil stocks where we have a good proxy for fundamental value. For this sample, the influence of sentiment is highly time-varying, appearing only after the post-2000 increased interest in oil-related assets. Contrary to the hard-to-arbitrage hypothesis, sentiment affects returns on these stocks principally through their fundamentals rather than through deviations from fundamentals. Retail investor sentiment predicts short-term momentum of fundamentals and Baker–Wurgler sentiment predicts mean reversion of fundamental factors. These effects appear in a portfolio that is long hard-to-arbitrage stocks and short easy-to-arbitrage stocks, but only because this portfolio has net exposure to fundamentals. More... »
PAGES291-313
Portfolio Construction, Measurement, and Efficiency
ISBN
978-3-319-33974-0
978-3-319-33976-4
http://scigraph.springernature.com/pub.10.1007/978-3-319-33976-4_13
DOIhttp://dx.doi.org/10.1007/978-3-319-33976-4_13
DIMENSIONShttps://app.dimensions.ai/details/publication/pub.1051380003
JSON-LD is the canonical representation for SciGraph data.
TIP: You can open this SciGraph record using an external JSON-LD service: JSON-LD Playground Google SDTT
[
{
"@context": "https://springernature.github.io/scigraph/jsonld/sgcontext.json",
"about": [
{
"id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/1502",
"inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/",
"name": "Banking, Finance and Investment",
"type": "DefinedTerm"
},
{
"id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/15",
"inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/",
"name": "Commerce, Management, Tourism and Services",
"type": "DefinedTerm"
}
],
"author": [
{
"affiliation": {
"alternateName": "London Business School",
"id": "https://www.grid.ac/institutes/grid.14868.33",
"name": [
"London Business School"
],
"type": "Organization"
},
"familyName": "Brealey",
"givenName": "Richard A.",
"id": "sg:person.010041313105.54",
"sameAs": [
"https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.010041313105.54"
],
"type": "Person"
},
{
"affiliation": {
"alternateName": "London Business School",
"id": "https://www.grid.ac/institutes/grid.14868.33",
"name": [
"London Business School"
],
"type": "Organization"
},
"familyName": "Cooper",
"givenName": "Ian A.",
"id": "sg:person.013624575505.45",
"sameAs": [
"https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.013624575505.45"
],
"type": "Person"
},
{
"affiliation": {
"alternateName": "London Business School",
"id": "https://www.grid.ac/institutes/grid.14868.33",
"name": [
"London Business School"
],
"type": "Organization"
},
"familyName": "Kaplanis",
"givenName": "Evi",
"id": "sg:person.014367754161.31",
"sameAs": [
"https://app.dimensions.ai/discover/publication?and_facet_researcher=ur.014367754161.31"
],
"type": "Person"
}
],
"citation": [
{
"id": "https://doi.org/10.1016/s0304-405x(98)00027-0",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1004007536"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1093/rapstu/ras002",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1006246774"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1111/0022-1082.00202",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1007090748"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1111/j.1540-6261.1993.tb04741.x",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1007850980"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1111/j.1540-6261.2006.01063.x",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1012021187"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1111/j.1540-6261.1990.tb05110.x",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1014291520"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1111/jofi.12021",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1022830197"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1093/rfs/1.1.41",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1023182472"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1111/j.1540-6261.2006.00885.x",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1024054103"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1111/0022-1082.00077",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1033454152"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1111/j.1468-036x.2008.00476.x",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1033770516"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1016/j.jfineco.2011.11.002",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1034815883"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1111/j.1540-6261.1993.tb04702.x",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1037663008"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1016/0304-405x(88)90021-9",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1038087627"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1016/j.jfineco.2004.04.003",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1040354537"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1111/0022-1082.00342",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1042224327"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1111/j.1540-6261.1985.tb05030.x",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1043273409"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1111/j.1540-6261.1991.tb03746.x",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1045735866"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1016/j.jempfin.2002.12.001",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1047993096"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1016/j.jfineco.2011.11.003",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1052301230"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1086/261284",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1058574765"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1086/261535",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1058575016"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1086/427633",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1058715265"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1086/427633",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1058715265"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1093/rfs/9.3.845",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1060005704"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.1257/jep.21.2.129",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1064530317"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.2307/1911512",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1069639624"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.2307/2234529",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1069848116"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.2307/2234529",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1069848116"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.2307/2298010",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1069869316"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.2307/2331130",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1069893026"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.2307/2937816",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1070139542"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.2139/ssrn.1707103",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1102296654"
],
"type": "CreativeWork"
},
{
"id": "https://doi.org/10.2139/ssrn.1793449",
"sameAs": [
"https://app.dimensions.ai/details/publication/pub.1102306090"
],
"type": "CreativeWork"
}
],
"datePublished": "2017",
"datePublishedReg": "2017-01-01",
"description": "We test the effect of sentiment on returns using a sample of upstream oil stocks where we have a good proxy for fundamental value. For this sample, the influence of sentiment is highly time-varying, appearing only after the post-2000 increased interest in oil-related assets. Contrary to the hard-to-arbitrage hypothesis, sentiment affects returns on these stocks principally through their fundamentals rather than through deviations from fundamentals. Retail investor sentiment predicts short-term momentum of fundamentals and Baker\u2013Wurgler sentiment predicts mean reversion of fundamental factors. These effects appear in a portfolio that is long hard-to-arbitrage stocks and short easy-to-arbitrage stocks, but only because this portfolio has net exposure to fundamentals.",
"editor": [
{
"familyName": "Guerard,",
"givenName": "John B.",
"type": "Person"
}
],
"genre": "chapter",
"id": "sg:pub.10.1007/978-3-319-33976-4_13",
"inLanguage": [
"en"
],
"isAccessibleForFree": false,
"isPartOf": {
"isbn": [
"978-3-319-33974-0",
"978-3-319-33976-4"
],
"name": "Portfolio Construction, Measurement, and Efficiency",
"type": "Book"
},
"name": "The Behaviour of Sentiment-Induced Share Returns: Measurement When Fundamentals Are Observable",
"pagination": "291-313",
"productId": [
{
"name": "doi",
"type": "PropertyValue",
"value": [
"10.1007/978-3-319-33976-4_13"
]
},
{
"name": "readcube_id",
"type": "PropertyValue",
"value": [
"f4c0e5d54e973121c45b6560d0794616945eb3a470f3313bba96e40b7fe7cdea"
]
},
{
"name": "dimensions_id",
"type": "PropertyValue",
"value": [
"pub.1051380003"
]
}
],
"publisher": {
"location": "Cham",
"name": "Springer International Publishing",
"type": "Organisation"
},
"sameAs": [
"https://doi.org/10.1007/978-3-319-33976-4_13",
"https://app.dimensions.ai/details/publication/pub.1051380003"
],
"sdDataset": "chapters",
"sdDatePublished": "2019-04-15T17:23",
"sdLicense": "https://scigraph.springernature.com/explorer/license/",
"sdPublisher": {
"name": "Springer Nature - SN SciGraph project",
"type": "Organization"
},
"sdSource": "s3://com-uberresearch-data-dimensions-target-20181106-alternative/cleanup/v134/2549eaecd7973599484d7c17b260dba0a4ecb94b/merge/v9/a6c9fde33151104705d4d7ff012ea9563521a3ce/jats-lookup/v90/0000000001_0000000264/records_8678_00000326.jsonl",
"type": "Chapter",
"url": "http://link.springer.com/10.1007/978-3-319-33976-4_13"
}
]Download the RDF metadata as: json-ld nt turtle xml License info
JSON-LD is a popular format for linked data which is fully compatible with JSON.
curl -H 'Accept: application/ld+json' 'https://scigraph.springernature.com/pub.10.1007/978-3-319-33976-4_13'
N-Triples is a line-based linked data format ideal for batch operations.
curl -H 'Accept: application/n-triples' 'https://scigraph.springernature.com/pub.10.1007/978-3-319-33976-4_13'
Turtle is a human-readable linked data format.
curl -H 'Accept: text/turtle' 'https://scigraph.springernature.com/pub.10.1007/978-3-319-33976-4_13'
RDF/XML is a standard XML format for linked data.
curl -H 'Accept: application/rdf+xml' 'https://scigraph.springernature.com/pub.10.1007/978-3-319-33976-4_13'
This table displays all metadata directly associated to this object as RDF triples.
175 TRIPLES
23 PREDICATES
59 URIs
20 LITERALS
8 BLANK NODES