Do Investors Care About Sentiment?

Edwin J. Elton, Martin J. Gruber and Jeffrey A. Busse

New York University, Leonard N. Stern School Finance Department Working Paper Seires from New York University, Leonard N. Stern School of Business-

Abstract: Results of recent research indicate small investor sentiment, as measured by the change in the discount on closed-end funds, is an important factor in the return generating process for common stocks. We find no evidence of it being an important factor in the return generating process. We next examine its impact on expected returns and whether one set of firms with high sensitivity to this factor, closed-end funds, offers, and can be expected to offer, a higher expected return. Our findings do not support small investor sentiment as a priced factor, either in common stocks or closed-end funds.

Date: 1998-02
References: Add references at CitEc
Citations: View citations in EconPapers (39)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fth:nystfi:98-028

Access Statistics for this paper

More papers in New York University, Leonard N. Stern School Finance Department Working Paper Seires from New York University, Leonard N. Stern School of Business- U.S.A.; New York University, Leonard N. Stern School of Business, Department of Economics . 44 West 4th Street. New York, New York 10012-1126. Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().