Sentiment sensitivity, limits of arbitrage, and pricing anomalies
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Description
We investigate whether an investor sentiment factor explains the cross-section of stock returns. The average return differential is 1.48% (0.75%) per month between the decile portfolios with the highest positive sentiment beta and that with negative sentiment beta. The sentiment factor, LMS, has statistically significant average returns of 1.71% per month, and shows a positive and statistically significant market price. The sentiment-augmented asset-pricing models explain the size effect, and conditional models often capture the size, value and momentum effects.
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| ID Code: | 113796 | ||
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| Item Type: | Chapter in Book, Report or Conference volume (Conference contribution) | ||
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| Measurements or Duration: | 42 pages | ||
| Pure ID: | 32513049 | ||
| Divisions: | Past > QUT Faculties & Divisions > QUT Business School Current > Schools > School of Economics & Finance |
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| Copyright Owner: | 2013 The Author(s) | ||
| Copyright Statement: | This work is covered by copyright. Unless the document is being made available under a Creative Commons Licence, you must assume that re-use is limited to personal use and that permission from the copyright owner must be obtained for all other uses. If the document is available under a Creative Commons License (or other specified license) then refer to the Licence for details of permitted re-use. It is a condition of access that users recognise and abide by the legal requirements associated with these rights. If you believe that this work infringes copyright please provide details by email to qut.copyright@qut.edu.au | ||
| Deposited On: | 21 Nov 2017 05:18 | ||
| Last Modified: | 22 Mar 2024 00:08 |
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