Investor Sentiment as Conditioning Information in Asset Pricing

Ho, C.; Hung, C.-H.

Abstract

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.

Citation

Ho, C., & Hung, C. (2009). Investor Sentiment as Conditioning Information in Asset Pricing. Journal of Banking and Finance, 33(5), 892-903. https://doi.org/10.1016/j.jbankfin.2008.10.004

• Journal Article Type: Article
• Publication Date: May 1, 2009
• Deposit Date: May 22, 2009
• Journal: Journal of Banking and Finance
• Print ISSN: 0378-4266
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 33
• Issue: 5
• Pages: 892-903
• DOI: https://doi.org/10.1016/j.jbankfin.2008.10.004
• Keywords: Anomalies, Asset pricing, Conditioning information, Sentiment.
• Public URL: https://durham-repository.worktribe.com/output/1531369
• Publisher URL: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1243202