Investor sentiment as conditioning information in asset pricing

Ho, C. and Hung, C.-H. (2009) Investor sentiment as conditioning information in asset pricing. Journal of Banking and Finance, 33(5), pp. 892-903. (doi:10.1016/j.jbankfin.2008.10.004)

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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.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Hung, Dr Daniel
Authors: Ho, C., and Hung, C.-H.
College/School:College of Social Sciences > Adam Smith Business School > Accounting and Finance
Journal Name:Journal of Banking and Finance
Publisher:Elsevier Ltd.
ISSN:0378-4266

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