Investor Sentiment and the Cross-Section of Stock Returns

@inproceedings{Baker2003InvestorSA,
  title={Investor Sentiment and the Cross-Section of Stock Returns},
  author={M. Baker and Jeffrey Wurgler},
  year={2003}
}
  • M. Baker, Jeffrey Wurgler
  • Published 2003
  • Economics
  • We examine how investor sentiment affects the cross-section of stock returns. Theory predicts that a broad wave of sentiment will disproportionately affect stocks whose valuations are highly subjective and are difficult to arbitrage. We test this prediction by studying how the cross-section of subsequent stock returns varies with proxies for beginning-of-period investor sentiment. When sentiment is low, subsequent returns are relatively high on smaller stocks, high volatility stocks… CONTINUE READING
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