Investor sentiment, misreaction, and the skewness‐return relationship
研究了投资者情绪如何导致错误反应，并发现悲观情绪引发的过度反应会强化风险中性偏度与后续市场收益之间的负向关系，对市场时机策略有参考价值。
Abstract This study examines the effect of investor sentiment on misreaction and explores the time‐series relationship between risk‐neutral skewness (RNS) and subsequent stock market returns contingent on sentiment‐induced overreaction. Using the adjusted put‐call implied volatility spread as a misreaction proxy and Bakshi et al.'s method to measure RNS, we find that pessimism leads to overreaction. This overreaction could strengthen the negative RNS‐return relationship, with higher market returns following lower RNS. Our results are robust even after excluding the sample period of the 2008 financial crisis, profiting from market‐timing strategies based on the levels of RNS and overreaction, and using an alternative RNS measure.