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Investor Sentiment and Assets Valuation.

Authors :
Changsheng, Hu
Yongfeng, Wang
Source :
Systems Engineering Procedia; 2012, Vol. 5, p166-171, 6p
Publication Year :
2012

Abstract

Abstract: Using the Chinese stock market data as sample, this paper investigates the impact of investor sentiment on the assets valuation. In order to classify stocks objectively, our sample stocks are sorted by double indicators (B/M and PE). In the portfolio, we find stocks with low B/M and high PE are sensitive to investor sentiment, which are considered to be costly to arbitrage. Investor sentiment has incremental power to explain stock return co-movements, which indicates that these stocks would perform higher (lower) excess returns when investors are bullish (bearish).Our findings support a role for investor sentiment in the formation of return and the change of investor sentiment should be taken as an important systemic risk in asset pricing and portfolio management. [Copyright &y& Elsevier]

Details

Language :
English
ISSN :
22113819
Volume :
5
Database :
Supplemental Index
Journal :
Systems Engineering Procedia
Publication Type :
Academic Journal
Accession number :
71255599
Full Text :
https://doi.org/10.1016/j.sepro.2011.11.023