Re‐examining investor sentiment and stock returns: A replication and extension of Baker and Wurgler (2006)
重复并扩展了Baker和Wurgler（2006）的研究，证实投资者情绪对股票收益的横截面影响，并发现情绪指标的预测力会随时间变化，在中国市场情绪效应在缺乏估值差异时消失。
Abstract This study replicates and extends Baker and Wurgler's (2006) analysis on investor sentiment's impact on stock returns. We confirm their findings by demonstrating the significant cross‐sectional effect of sentiment in both their original sample (1963–2002) and a new sample (2002–2023). Expanding the scope, we introduce a monthly sentiment measure and analyze the U.S. market (2002–2023) and the Chinese market. Our results show that the predictive strength of sentiment indicators can shift or invert over time. In the Chinese market, sentiment's expected cross‐sectional effects disappear when foundational conditions, such as stock valuation variance, are not met.