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Investor Sentiment as Conditioning Information in Asset Pricing

Ho, C.; Hung, C.-H.

Authors

C. Ho

C.-H. Hung



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.

Citation

Ho, C., & Hung, C. (2009). Investor Sentiment as Conditioning Information in Asset Pricing. Journal of Banking and Finance, 33(5), 892-903. https://doi.org/10.1016/j.jbankfin.2008.10.004

Journal Article Type Article
Publication Date May 1, 2009
Deposit Date May 22, 2009
Journal Journal of Banking and Finance
Print ISSN 0378-4266
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 33
Issue 5
Pages 892-903
DOI https://doi.org/10.1016/j.jbankfin.2008.10.004
Keywords Anomalies, Asset pricing, Conditioning information, Sentiment.
Public URL https://durham-repository.worktribe.com/output/1531369
Publisher URL http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1243202

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