| Summary: | 碩士 === 國立東華大學 === 公司理財碩士學位學程 === 97 === Baker and Wurgler (2006) showed that the cross-section of future stock return is conditional on beginning-of-period proxies for sentiment.When sentiment is estimated to be high, stocks that are attractive to optimists and speculators—small stocks, high -volatility stocks, unprofitable stocks, non-dividend paying stocks, extreme-growth stocks, and distressed stocks—tend to earn relatively low subsequent returns. However, when sentiment is estimated to be low, stocks that are unattractive to optimists and speculators tend to earn relatively low subsequent returns.
This paper studies how investor sentiment affects the short-run and long-run stock returns. We predict a wave of investor sentiment disproportionately affects securities whose valuations are highly subjective and are difficult to arbitrage, and analyze the relationship between investor sentiment and the short-run and long-run stock returns. This research is based on listed firms on the NYSE, AMEX and NASDAQ, and the sample period is from January 1974 through December 2006. We document that when beginning-of-period proxies for investor sentiment are low, subsequent returns are relatively high on high volatility stocks, unprofitable stocks, non-dividend-paying stocks, extreme-growth stocks, and distressed stocks. Moreover, we find that holding the long-short portfolio may have more significant effects between investor sentiment and the long-run stock returns.
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