دانلود رایگان ترجمه مقاله بررسی شاخص احساسات و پیش بینی نرخ بازده های آینده – SSRN 2017
دانلود رایگان مقاله انگلیسی آیا شاخص احساس نرخ بازده آینده را پیش بینی می کند؟ به همراه ترجمه فارسی
عنوان فارسی مقاله | آیا شاخص احساس نرخ بازده آینده را پیش بینی می کند؟ |
عنوان انگلیسی مقاله | Does sentiment index predict future returns? |
رشته های مرتبط | اقتصاد، حسابداری، حسابداری مالی و اقتصاد مالی |
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نشریه | SSRN |
سال انتشار | ۲۰۱۷ |
کد محصول | F584 |
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فهرست مقاله: چکیده |
بخشی از ترجمه فارسی مقاله: ۱- مقدمه |
بخشی از مقاله انگلیسی: I. Introduction Investor sentiment has traditionally been ignored in classic finance theory. The cross-section of expected stock returns is usually posited to depend only on the cross-section of systematic risks. However, Baker and Wurgler (2006) present evidence that the cross-section of expected stock returns is conditioned by investor sentiment. They construct a sentiment index as the first principal component of six investor sentiment proxies and find that the firm characteristics that have no unconditional predictive power exhibit sign flipping predictive ability when conditioned on their investor sentiment index e.g. relative higher returns of low volatility firms over high volatility firms following high sentiment periods. In particular, they find that hard to value and difficult to arbitrage stocks such as high volatility, young, small, unprofitable, and non-dividend paying stocks earn relatively lower (higher) returns following high (low) sentiment periods, which suggest that hard to value and difficult to arbitrage stocks are relatively overpriced (underpriced) in high (low) sentiment periods. Subsequently, Baker and Wurgler (2007) using volatility as a proxy of hard to value stocks show that high volatility stocks are overpriced compared with low volatility stocks when the sentiment changes index is positive (negative). 1 Specifically, they find that one one-standarddeviation increase in the sentiment changes index increases the returns on high volatility deciles but the effect is slightly negative for low volatility deciles. Therefore, they examine the impact of extreme sentiment changes on the returns of volatility portfolios, not simply the positive (negative) sentiment changes. Furthermore, they argue that sentiment changes index is suitable to test for the return comovement patterns associated with the changes in sentiment; whereas the sentiment levels index as in Baker and Wurgler (2006) is suitable to test for return predictability conditioned on lagged sentiment levels. In this paper, we extend Baker and Wurgler (2006) and empirically examine their suggestion that hard to value stocks are overpriced (underpriced) in high (low) sentiment periods by conditioning firm characteristics on the positive (negative) sentiment changes index. Second and most importantly, we test the effect of investor sentiment dynamics on the relation between sentiment and the cross-section of stock returns; sentiment dynamics refer to sentiment continuation or transition. We hypothesize that hard to value stocks would remain overpriced (underpriced) when sentiment continues to increase (decrease) in the subsequent period following high (low) sentiment periods. Furthermore, the mispricing of hard to value stocks relative to easy to value stocks would be corrected when there is a transition in sentiment, i.e., subsequent sentiment decreases (increases) following high (low) sentiment periods. Finally, we test the effect of investor sentiment on riskadjusted returns by adjusting cross-sectional returns on CAPM and Fama-French factors plus a momentum factor. We define High (Low) sentiment periods based on positive (negative) sentiment changes index of Baker and Wurgler (2007), negative (positive) change in the Chicago Board Options Exchange (CBOE) Volatility Index (VIX), negative (positive) change in the CBOE put/call ratio, and positive (negative) bull-bear spread based on the survey of American Association of Individual Investors (AAII). Furthermore, we designate sentiment dynamics as H/H (L/L) when both lagged, and subsequent sentiment continues to increase (decrease) and as H/L (L/H) when the lagged sentiment is High (Low) but the subsequent sentiment decreases (increases). Consistent with our hypothesis, we find that hard to value stocks are overpriced (underpriced) during High (Low) sentiment periods since hard to value stocks earn higher (lower) returns relative to easy to value stocks. For example, we find that high volatility, young, small size, unprofitable, non-dividend paying and lower asset tangibility firms earn higher (lower) returns relative to low volatility, older, big size, profitable, dividend-paying, and high asset tangibility firms during High (Low) sentiment periods. We also find that the subsequent returns of hard to value stocks continue to remain high (low) relative to easy to value stocks if the subsequent sentiment continues to increase (decrease). Furthermore, we find that hard to value stocks earn lower (higher) returns relative to easy to value stocks following High (Low) sentiment periods only when the subsequent sentiment decreases (increases). Consequently, we find that the future return predictability of Baker and Wurgler (2006) sentiment levels index is limited to the extreme sentiment levels and only to the periods where the subsequent sentiment decreases (increases). Finally, we find that the systematic risk is at best only a partial explanation of the relationship between the cross-sectional patterns of firm characteristics and investor sentiment. Our study makes three important contributions to the existing literature on sentiment. Firstly, it shows that the overpricing (underpricing) of hard to value stocks continues if subsequent sentiment continues to increase (decrease). Secondly, it shows that the existing evidence which suggests relatively low (high) subsequent returns of hard to value stocks (e.g. Baker and Wurgler, 2006) following High (Low) sentiment periods is only valid when the subsequent sentiment decreases (increases). Finally, our results suggest that investors should be careful in interpreting the findings of Baker and Wurgler (2006) that hard to value stocks earn low (high) returns following high (low) sentiment periods as an indication of selling (buying) hard to value stocks following high (low) sentiment periods, since it could happen only when the subsequent sentiment decreases (increases). Section II reviews the literature and develops our hypotheses, while Section III describes the data, in particular our proxies for investor sentiment and hard to value stocks. Section IV provides the empirical results, Section V applies the robustness tests and the last section concludes. |