Investor sentiment as conditioning information in asset pricing

TY - JOUR

T1 - Investor sentiment as conditioning information in asset pricing

AU - Ho, Chienwei

AU - Hung, Chi-Hsiou

N1 - Copyright 2009 Elsevier B.V., All rights reserved.

PY - 2009/5/1

Y1 - 2009/5/1

N2 - 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.

AB - 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.

UR - https://www.scopus.com/pages/publications/60749119996

U2 - 10.1016/j.jbankfin.2008.10.004

DO - 10.1016/j.jbankfin.2008.10.004

M3 - Article

AN - SCOPUS:60749119996

SN - 0378-4266

VL - 33

SP - 892

EP - 903

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

IS - 5

ER -