Investor Sentiment and Asset Valuation

The Effect of Investor Sentiment on Stock Returns: Insight from Emerging Asian Markets

“…SIZE is positively correlated with SentimentS and SentimentM. The positive correlation is consistent with the findings of Brown and Cliff (2005) that there is positive relationship between sentiment and size. Furthermore, the two sentiment dimensions and the other control variables do not display a strong correlation (absolute value ranging from 0.0031 to 0.1312).…”

“…Furthermore, the two sentiment dimensions and the other control variables do not display a strong correlation (absolute value ranging from 0.0031 to 0.1312). As noted by Brown and Cliff (2005), the lack of substantial correlation indicates that sentiment may contain additional information (apart from the marginal overlap between the information of sentiment and controls). Table 3 presents the results of the panel regression including the coefficient estimates and R 2 values.…”

The Effect of Investor Sentiment on Stock Returns: Insight from Emerging Asian Markets

“…Research seems to support this argument. Brown and Cliff (2005) find an inverse relationship between sentiment and future returns of 25 portfolios formed based on Fama and French (1993). Fisher and Statman (2003) and Baker and Wurgler (2006) among others also document a similar association.…”

“…Congruent with this notion, Brown and Cliff (2004) document a strong association between sentiment and contemporaneous stock returns. Brown and Cliff (2005) find that sentiment affects mispricing in the US stock market. Chen (2011) document a negative relationship between returns and lack of confidence in the US market which indicates that low sentiment (i.e.…”

The Role of Demographic and Psychological Differences in Future Financial and Economic Expectations

“…Prior research find also that CC measure have a predictive ability with respect to stock market returns (e.g., (Fisher & Statman, 2003;Brown & Cliff, 2005) and even more pronouncedly for firms that are hard to price and thus difficult to arbitrage (e.g. Baker & Wurgler, 2006;Lemmon & Portniaguina, 2006).…”