Investor sentiment as conditioning information in asset pricing

Jerry Ho and Chi-Hsiou Hung ()

Journal of Banking & Finance, 2009, vol. 33, issue 5, 892-903

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.

Keywords: Anomalies; Asset; pricing; Conditioning; information; Sentiment (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (58)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:33:y:2009:i:5:p:892-903

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