Stock market volatility, excess returns, and the role of investor sentiment
2002; Elsevier BV; Volume: 26; Issue: 12 Linguagem: Inglês
10.1016/s0378-4266(01)00202-3
ISSN1872-6372
AutoresWayne Y Lee, Christine X. Jiang, Daniel C. Indro,
Tópico(s)Financial Risk and Volatility Modeling
ResumoUsing the Investors' Intelligence sentiment index, we employ a generalized autoregressive conditional heteroscedasticity-in-mean specification to test the impact of noise trader risk on both the formation of conditional volatility and expected return as suggested by De Long et al. [Journal of Political Economy 98 (1990) 703]. Our empirical results show that sentiment is a systematic risk that is priced. Excess returns are contemporaneously positively correlated with shifts in sentiment. Moreover, the magnitude of bullish (bearish) changes in sentiment leads to downward (upward) revisions in volatility and higher (lower) future excess returns.
Referência(s)