Sentiment and the cross‐section of expected stock returns
研究发现市场情绪在股票横截面中被定价，情绪贝塔最高的股票在低情绪期后比最低的月收益高0.74%，但中高情绪期后差异不显著，支持高情绪后高估更普遍的观点。
Abstract The asset pricing Literature suggests market sentiment is a state variable. This study shows that market sentiment is positively priced at the cross‐section of stock returns, conditional on aggregate investors’ sentiment. We estimate individual stock sentiment beta and find that, following low‐sentiment periods, stocks in the highest sentiment beta quintile generate a 0.74% higher monthly return than stocks in the lowest sentiment beta quintile. However, this return spread is insignificant following medium‐ or high‐sentiment periods. This finding is consistent with the argument that overpricing following high‐sentiment periods is more prevalent than underpricing following low‐sentiment periods due to short‐sale constraints.