This paper examines whether the results supporting a recent story that sentiment-related overpricing is the source of a variety of asset pricing anomalies are still maintained after separating out the effect of macroeconomic conditions. We find that after adjusting for the effect of several macroeconomic variables in the proxy for investor sentiment, the results are no longer consistent with the sentimentrelated overpricing story. These results indicate that the anomalies are not necessarily attributed to sentiment-related overpricing but rather to macroeconomic conditions.
Keywords: Investor sentiment; Anomalies; Predicted investor sentiment; Macroeconomic variables; Sentiment-related overpricing
JEL classification: G12; G14
학회소식
공지사항
[2015년 제 2차] Investor Sentiment, Anomalies, and the Macroeconomy
작성자 : 관리자
조회수 : 789
게시일 :
2015-06-03