Investor sentiment as conditioning information in asset pricing

Ho, Chienwei & Hung, Chi-Hsiou (2009) Investor sentiment as conditioning information in asset pricing. Journal of Banking & Finance, 33(5), pp. 892-903.

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This paper assesses whether incorporating investor sentiment as conditioning information in asset-pricing models helps capture the impacts of the size, value, liquidity and momentum effects on risk-adjusted returns of individual stocks. We use survey sentiment measures and a composite index as proxies for investor sentiment. In our conditional framework, the size effect becomes less important in the conditional CAPM and is no longer significant in all the other models examined. Furthermore, the conditional models often capture the value, liquidity and momentum effects.

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24 citations in Scopus
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23 citations in Web of Science®

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ID Code: 73813
Item Type: Journal Article
Refereed: Yes
Keywords: Anomalies, Asset pricing, Conditioning information, Sentiment
DOI: 10.1016/j.jbankfin.2008.10.004
ISSN: 0378-4266
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Deposited On: 14 Jul 2014 00:32
Last Modified: 15 Jul 2014 02:12

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