Investor sentiment as conditioning information in asset pricing

Chienwei Ho, Chi-Hsiou Hung

    Research output: Contribution to journalArticlepeer-review

    101 Citations (Scopus)


    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.
    Original languageEnglish
    Pages (from-to)892-903
    Number of pages12
    JournalJournal of Banking and Finance
    Issue number5
    Publication statusPublished - 1 May 2009


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