The sentiment premium and macroeconomic announcements View Full Text


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Article Info

DATE

2018-01

AUTHORS

Ding Du, Ou Hu

ABSTRACT

Limits to arbitrage imply that market-wide investor sentiment should be a priced factor in the US equity market. While previous studies (Baker and Wurgler in J Financ 61:1645–1680, 2006) focus on the factor loading on market-wide investor sentiment, we study its factor premium in the present paper. This is important, because both factor loadings and premiums are required to estimate expected returns on stocks, which are essential for capital budgeting, portfolio evaluation, investment, and risk analysis decisions. If overpricing is more prevalent than underpricing (Stambaugh et al. in J Financ Econ 104:288–302, 2012), the premium on market-wide investor sentiment should be negative. Furthermore, the sentiment premium should be particularly significant on days without macroeconomic announcements, because there is a lack of information about the state of the economy at such times. We test these hypotheses in this paper, and find supporting evidence. Our findings have important theoretical as well as practical implications. More... »

PAGES

207-237

References to SciGraph publications

  • 2016-11. Stock prices, dividends, earnings, and investor sentiment in REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING
  • 2014-07. Market uncertainty, market sentiment, and the post-earnings announcement drift in REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING
  • 2017-02. Financial investor sentiment and the boom/bust in oil prices during 2003–2008 in REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING
  • 2014-08. Investor sentiment and interest rate volatility smile: evidence from Eurodollar options markets in REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING
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