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Anomalies And Investor Sentiment

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Anomalies And Investor Sentiment

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Author : Gustavo Xavier
language : en
Publisher:
Release Date : 2017

Anomalies And Investor Sentiment written by Gustavo Xavier and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.

This study examined the relationship between investor sentiment and value anomalies in Brazil. In addition, it analyzed if pricing deviations caused by investors with optimistic views are different from those caused by pessimistic investors. The sample included all non-financial firms listed on the B3 (Brasil, Bolsa, Balcão) stock exchange from July 1999 to June 2014. We used the Principal Component Analysis multivariate technique to capture the component common to four different proxies for investor sentiment. The study empirically tested the index series and its variation on the return series of Long-Short portfolios of 12 anomaly-based strategies. The study found that the measure of the sentiment index had a partial explanatory power for the anomalies only when included in the CAPM. Yet, when using the index sentiment changes as an explanatory variable, the study found a relationship with future returns, robust to all risk factors. Thus, it is possible to relate investor sentiment index to anomaly-based portfolio returns. When analyzing average returns after optimistic and pessimistic periods, the values we found in our empirical test were not statistically significant enough to infer the possible existence of short-sale constraints.

The Short Of It Investor Sentiment And Anomalies

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Author :
language : en
Publisher:
Release Date : 2011

The Short Of It Investor Sentiment And Anomalies written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.

Individual Stock Investor Sentiment Stock Issuance And Financial Market Anomalies

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Author : Edmund Pak Kuen Lee
language : en
Publisher:
Release Date : 2013

Individual Stock Investor Sentiment Stock Issuance And Financial Market Anomalies written by Edmund Pak Kuen Lee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.

Investor Sentiment Anomalies And Macroeconomic Conditions

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Author : Dongcheol Kim
language : en
Publisher:
Release Date : 2019

Investor Sentiment Anomalies And Macroeconomic Conditions written by Dongcheol Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.

We examine whether the results supporting the sentiment-related overpricing story by Stambaugh, Yu, and Yuan (J. Financial Economics, v.104, p.288-302) is still valid after controlling for macroeconomic conditions. We no longer find the results consistent with the sentiment-related overpricing story after adjusting for the effect of macroeconomic conditions. The risk factors associated with macroeconomic conditions are mostly priced and the average return spread in the anomalies is largely accounted for by the expected return spread implied by the risk factors. Their results might be a consequence of the use of an inadequately constructed sentiment index. It is premature to argue that the returns in the anomalies are driven by investor sentiment.

The Long Of It

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Author : Robert F. Stambaugh
language : en
Publisher:
Release Date : 2012

The Long Of It written by Robert F. Stambaugh and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Economics categories.

Extremely long odds accompany the chance that spurious-regression bias accounts for investor sentiment's observed role in stock-return anomalies. We replace investor sentiment with a simulated persistent series in regressions reported by Stambaugh, Yu and Yuan (2012), who find higher long-short anomaly profits following high sentiment, due entirely to the short leg. Among 200 million simulated regressors, we find none that support those conclusions as strongly as investor sentiment. The key is consistency across anomalies. Obtaining just the predicted signs for the regression coefficients across the 11 anomalies examined in the above study occurs only once for every 43 simulated regressors.

Investor Sentiment And Fund Market Anomalies

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Author : Zhixiang Yu
language : en
Publisher:
Release Date : 2013

Investor Sentiment And Fund Market Anomalies written by Zhixiang Yu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.

Investor Sentiment Anomaly And The Macroeconomy

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Author : Dongcheol Kim
language : en
Publisher:
Release Date : 2017

Investor Sentiment Anomaly And The Macroeconomy written by Dongcheol Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.

This paper examines whether the results supporting a sentiment-related overpricing story is valid even after controlling for the effect of macroeconomic conditions. We no longer find the results consistent with the sentiment-related overpricing story after adjusting for the effect of several macroeconomic variables. Further, we find that the risk factors associated with macroeconomic variables are mostly priced and that a large portion of the average return spread in the anomalies is accounted for by their expected return spread implied by the risk factors. Thus, a substantial amount of the explanatory power of investor sentiment for the anomalies is attributed to investor sentiment co-varying with the risk premiums of those factors. We thus argue that the anomalies are not necessarily attributed to sentiment-related overpricing, but rather to macroeconomic conditions.