Consumer Confidence and Asset Prices: Some Empirical Evidence
用消费者信心衡量投资者乐观情绪，研究其与小盘股溢价的时间序列关系，发现情绪能预测小盘股和低机构持股股票的回报，但不预测价值或动量溢价。
We explore the time-series relationship between investor sentiment and the small-stock premium using consumer confidence as a measure of investor optimism. We estimate the components of consumer confidence related to economic fundamentals and investor sentiment. After controlling for the time variation of beta, we study the time-series variation of the pricing error with sentiment. Over the last 25 years, investor sentiment measured using consumer confidence forecasts the returns of small stocks and stocks with low institutional ownership in a manner consistent with the predictions of models based on noise-trader sentiment. Sentiment does not appear to forecast time-series variation in the value and momentum premiums. Copyright 2006, Oxford University Press.