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| Tekijä: | Lee, W. Y. Jiang, C. X. Indro, D. C. |
| Otsikko: | Stock market volatility, excess returns, and the role of investor sentiment |
| Lehti: | Journal of Banking and Finance
2002 : DEC, VOL. 26:12, p. 2277-2300 |
| Asiasana: | INVESTORS VOLATILITY STOCK MARKETS |
| Kieli: | eng |
| Tiivistelmä: | Using the Investors' Intelligence sentiment index, the authors employ a generalized autoregressive conditional heteroscedasticity-in-mean specification to test the impact of noise trader risk on both the formation of conditional volatility and expected return as suggested by De Long.. The authors' empirical results show that sentiment is a systematic risk that is priced. Excess returns are contemporaneously positively correlated with shifts in sentiment. Moreover, the magnitude of bullish (bearish) changes in sentiment leads to downward (upward) revisions in volatility and higher (lower) future excess returns. The paper provides a substantial list of references on this subject. |
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