• DOI:10.1111/J.1540-6261.2006.00885.X
Corpus ID: 3103043

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

View on SSRN

onlinelibrary.wiley.com

Save to Library

Create Alert

Cite

Launch Research Feed