Cross-sectional performance and investor sentiment in a multiple risk factor model Public Deposited

http://ir.library.oregonstate.edu/concern/defaults/7d278t733

This is the author's peer-reviewed final manuscript, as accepted by the publisher. The published article is copyrighted by Elsevier and can be found at:  http://www.journals.elsevier.com/journal-of-banking-and-finance/.

Descriptions

Attribute NameValues
Creator
Abstract or Summary
  • Economists have long recognized the importance of information veracity in valuing risky securities. Market participants concerned about the credibility of information measures may require additional compensation to entice them to hold stocks with less transparent information. These same securities are expected to display greater sensitivities to measures of market sentiment. We find that investor sentiment sensitivities increase directly with multiple measures of opacity in the cross-section. Next we examine the extent to which sentiment sensitivities are priced in an asset pricing context. Using the Jha et al. (2009) model of conditional performance evaluation, we find an inverse relation between ex ante known investor sentiment and the marginal performance of opaque stocks. In contrast, translucent stocks exhibit relatively little variability in performance across levels of sentiment.
Resource Type
DOI
Date Available
Date Issued
Citation
  • Berger, D., & Turtle, H. J. (2012). Cross-sectional performance and investor sentiment in a multiple risk factor model. Journal of Banking and Finance, 36(4), 1107-1121. doi: 10.1016/j.jbankfin.2011.11.001
Series
Keyword
Rights Statement
Publisher
Peer Reviewed
Language
Replaces
Additional Information
  • description.provenance : Submitted by Deanne Bruner (deanne.bruner@oregonstate.edu) on 2012-10-10T00:31:27Z No. of bitstreams: 1 BergerDaveBusinessCrossSectionalPerformance.pdf: 969429 bytes, checksum: 9cb3c5301950999e03b39b0422579921 (MD5)
  • description.provenance : Approved for entry into archive by Deanne Bruner(deanne.bruner@oregonstate.edu) on 2012-10-10T00:34:41Z (GMT) No. of bitstreams: 1 BergerDaveBusinessCrossSectionalPerformance.pdf: 969429 bytes, checksum: 9cb3c5301950999e03b39b0422579921 (MD5)
  • description.provenance : Made available in DSpace on 2012-10-10T00:34:43Z (GMT). No. of bitstreams: 1 BergerDaveBusinessCrossSectionalPerformance.pdf: 969429 bytes, checksum: 9cb3c5301950999e03b39b0422579921 (MD5) Previous issue date: 2012-04

Relationships

Parents:

This work has no parents.

Last modified

Downloadable Content

Download PDF

Items