Academic Journal
Cross-sectional performance and investor sentiment in a multiple risk factor model
"Journal of Banking & Finance" 15 pages 2012
Journal Details
Journal of Banking & Finance, 2012 Vol. 36 Issue 4 Pages 1107-1121
Finance
Journal Article, Academic Journal
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.