The Spillover Effect of Investor Sentiment on Stock Returns:Empirical Evidence from US, UK and Japan

• Main Authors: Che-hao Chang, 張哲豪
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/45448172573567098001

碩士 === 國立臺灣科技大學 === 財務金融研究所 === 96 === This study investigates whether investor sentiment helps predict the return premiums of size portfolios, of value portfolios, and of momentum portfolios in the U.S., U.K., and Japanese stock markets and whether investor sentiment helps predict important macroeconomic variables. This study also investigates whether there is a lead-lag relation among investor sentiment in these three countries. More importantly, this study investigates whether investor sentiment that is filtered out the macroeconomic factors helps predict various return premiums in its own country and other countries. Some important results are noted as follows. First, the filtered investor sentiment of U.S., U.K., and Japan contains no useful information to predict the value premium in their stock markets. Second, the investor sentiment of U.S., U.K., and Japan helps predict the decrease in the size premium with different holding periods in their stock markets. Third, the filtered investor sentiment of U.S. and U.K. helps predict the decrease in the size premium of Japan. Fourth, the investor sentiment of U.S. and Japan helps predict the increase in the momentum premium with different holding periods in their stock markets. Fifth, the filtered investor sentiment of U.S. helps predict the increase in the momentum premium of Japan. Overall, the results imply that the investor sentiment of U.S. and U.K. has a spillover effect on the size premium of Japan, and that of U.S. has a spillover effect on the momentum effect of Japan.