全球智库信息集成服务系统(G2TT): The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w18231
来源ID	Working Paper 18231
	The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns
	Robert F. Stambaugh; Jianfeng Yu; Yu Yuan
发表日期	2012-07-19
出版年	2012
语种	英语
摘要	Extremely long odds accompany the chance that spurious-regression bias accounts for investor sentiment's observed role in stock-return anomalies. We replace investor sentiment with a simulated persistent series in regressions reported by Stambaugh, Yu and Yuan (2012), who find higher long-short anomaly profits following high sentiment, due entirely to the short leg. Among 200 million simulated regressors, we find none that support those conclusions as strongly as investor sentiment. The key is consistency across anomalies. Obtaining just the predicted signs for the regression coefficients across the 11 anomalies examined in the above study occurs only once for every 43 simulated regressors.
主题	Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets
URL	https://www.nber.org/papers/w18231
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/575907
推荐引用方式 GB/T 7714	Robert F. Stambaugh,Jianfeng Yu,Yu Yuan. The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns. 2012.