Investor sentiment as conditioning information in asset pricing |
| |
Authors: | Chienwei Ho Chi-Hsiou Hung |
| |
Affiliation: | Durham Business School, Durham University, Mill Hill Lane, Durham DH1 3LB, UK |
| |
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. |
| |
Keywords: | G12 G14 |
本文献已被 ScienceDirect 等数据库收录! |
|