منابع مشابه
Investor Sentiment and Price Momentum
This paper sheds empirical light on whether investor sentiment affects the profitability of price momentum strategies. We hypothesize that when investors are optimistic, their expectations will be more miscalibrated relative to those obtained from objective probabilities, and arbitrage will be more difficult with short-selling constraints. Our results show that momentum rises only when investor...
متن کاملInvestor Sentiment and Assets Valuation
Using the Chinese stock market data as sample, this paper investigates the impact of investor sentiment on the assets valuation. In order to classify stocks objectively, our sample stocks are sorted by double indicators (B/M and PE). In the portfolio, we find stocks with low B/M and high PE are sensitive to investor sentiment, which are considered to be costly to arbitrage. Investor sentiment h...
متن کاملInvestor Sentiment and Economic Forces*
This study explores the role of investor sentiment in the pricing of a broad set of macro-related risk factors. Economic theory suggests that pervasive factors (such as TFP and consumption growth) should be priced in the cross-section of stock returns. However, when we form portfolios based directly on their exposure to macro factors, we find that portfolios with higher risk exposure do not ear...
متن کاملA Model of Investor Sentiment
Recent empirical research in nance has uncovered two families of pervasive regularities: underreaction of stock prices to news such as earnings announcements, and overreaction of stock prices to a series of good or bad news. In this paper, we present a parsimonious model of investor sentiment, or of how investors form beliefs, which is consistent with the empirical ndings. The model is based on...
متن کاملRational Investor Sentiment ∗ Anke Gerber
We explain excess volatility, short-term momentum and long-term reversal of asset prices by a repeated game version of Keynes’ beauty contest. In every period the players can either place a buy or sell order on the asset market. The actual price movement is determined by average market orders and noise. It is common knowledge that the noise process is an exogenous random walk. Our model explain...
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ژورنال
عنوان ژورنال: Journal of Financial and Quantitative Analysis
سال: 2019
ISSN: 0022-1090,1756-6916
DOI: 10.1017/s0022109019000711