Persistence of investor sentiment and market mispricing
研究了1965至2001年间美国投资者情绪的趋势性和非平稳性，以及2001年后情绪均值回归增强对市场错误定价和股票异常的影响。
Abstract We investigate changes in US market sentiment using structural break analysis over a period of five decades. We show that investor sentiment was trending and nonstationary from 1965 to 2001, a period associated with numerous crashes. Since 2001, sentiment has been substantially more mean reverting, implying the diminished effect of noise investors and their associated mispricing. We illustrate how these changes in sentiment persistence affect equity anomalies and assess the predictive power of sentiment on short‐run returns when regime changes are considered. Our findings suggest that the presence of sentiment‐driven investors and their market impact is significantly time‐variant.