TitleCross-sectional performance and investor sentiment in a multiple risk factor model
Publication TypeJournal Articles
Year of Publication2012
AuthorsBerger, D, Turtle, HJ
JournalJournal of Banking & Finance
Volume36
Issue4
Pagination1107-1121
Date Published2012
KeywordsFinance
Abstract

The impact of investor sentiment on stock prices varies in the cross-section. We estimate sentiment sensitivities and find that sentiment-prone stocks exhibit the opaque characteristics hypothesized by Baker and Wurgler (2006). We then examine conditional alphas using investor sentiment as an information variable. Opaque stocks exhibit marginal performance that varies inversely with investor sentiment. Translucent stocks exhibit relatively little variability in performance across levels of sentiment.

Sort

a