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.
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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|Item Type:||Journal Article|
|Keywords:||Anomalies, Asset pricing, Conditioning information, Sentiment|
|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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