Ho, C. and Hung, C.-H. (2009) 'Investor sentiment as conditioning information in asset pricing.', Journal of banking & finance., 33 (5). pp. 892-903.
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:||Anomalies, Asset pricing, Conditioning information, Sentiment.|
|Full text:||Full text not available from this repository.|
|Publisher Web site:||http://dx.doi.org/10.1016/j.jbankfin.2008.10.004|
|Record Created:||22 May 2009 10:35|
|Last Modified:||18 Nov 2010 10:33|
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