全球智库信息集成服务系统(G2TT): Investor Sentiment in the Stock Market

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w13189
来源ID	Working Paper 13189
	Investor Sentiment in the Stock Market
	Malcolm Baker; Jeffrey Wurgler
发表日期	2007-06-29
出版年	2007
语种	英语
摘要	Real investors and markets are too complicated to be neatly summarized by a few selected biases and trading frictions. The "top down" approach to behavioral finance focuses on the measurement of reduced form, aggregate sentiment and traces its effects to stock returns. It builds on the two broader and more irrefutable assumptions of behavioral finance -- sentiment and the limits to arbitrage -- to explain which stocks are likely to be most affected by sentiment. In particular, stocks of low capitalization, younger, unprofitable, high volatility, non-dividend paying, growth companies, or stocks of firms in financial distress, are likely to be disproportionately sensitive to broad waves of investor sentiment. We review the theoretical and empirical evidence for these predictions.
主题	Macroeconomics ; Business Cycles ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets
URL	https://www.nber.org/papers/w13189
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/570858
推荐引用方式 GB/T 7714	Malcolm Baker,Jeffrey Wurgler. Investor Sentiment in the Stock Market. 2007.