Investor Sentiment and the Cross‐Section of Stock Returns
研究投资者情绪如何影响不同股票的未来收益，发现情绪低时小盘、年轻、高波动、亏损、不派息、极端成长和困境股后续收益较高，情绪高时则相反。
ABSTRACT We study how investor sentiment affects the cross‐section of stock returns. We predict that a wave of investor sentiment has larger effects on securities whose valuations are highly subjective and difficult to arbitrage. Consistent with this prediction, we find that when beginning‐of‐period proxies for sentiment are low, subsequent returns are relatively high for small stocks, young stocks, high volatility stocks, unprofitable stocks, non‐dividend‐paying stocks, extreme growth stocks, and distressed stocks. When sentiment is high, on the other hand, these categories of stock earn relatively low subsequent returns.