Stabsseminar med Würgler

Institutt for foretaksøkonomi og Institutt for samfunnsøkonomi holder felles stabsseminar fredag 23. mai ved Dr. Jeffrey Würgler fra New York University.

22.05.2003 - Anette W. Petersen

Tema: Investor sentiment and the cross-section of stock returns
Tid: Fredag 23.mai, kl. 12.15-13.30
Sted: Aud. C

Abstract:
We find that investor sentiment has broad effects on the cross-section of stock returns. Anecdotal accounts and theoretical considerations suggest that sentiment may affect stocks on the dimensions of age, size, profitability, dividend payment, and growth prospects. We test for such effects by conditioning on proxies for investor sentiment. We find that when sentiment is high, stocks that exhibit salient characteristics of risk - including young stocks, small stocks, unprofitable stocks, nonpaying stocks, highgrowth stocks, and distressed stocks - earn lower expected returns. When sentiment is low, these cross-sectional patterns are attenuated or, in
many cases, fully reverse.

Paper er tilgjengelig på nettsiden til Institutt for foretaksøkonomi.

Kontaktperson: Hans K. Hvide (59283).