Investor Sentiment and the Cross‐Section of Stock Returns
Malcolm Baker and
Jeffrey Wurgler ()
Journal of Finance, 2006, vol. 61, issue 4, 1645-1680
We study how investor sentiment affects the cross‐section of stock returns. We predict that a wave of investor sentiment has larger effects on securities whose valuations are highly subjective and difficult to arbitrage. Consistent with this prediction, we find that when beginning‐of‐period proxies for sentiment are low, subsequent returns are relatively high for small stocks, young stocks, high volatility stocks, unprofitable stocks, non‐dividend‐paying stocks, extreme growth stocks, and distressed stocks. When sentiment is high, on the other hand, these categories of stock earn relatively low subsequent returns.
References: Add references at CitEc
Citations: View citations in EconPapers (807) Track citations by RSS feed
Downloads: (external link)
Working Paper: Investor Sentiment and the Cross-Section of Stock Returns (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:61:y:2006:i:4:p:1645-1680
Ordering information: This journal article can be ordered from
Access Statistics for this article
More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().