The DOI matches its Crossref record; 5 of the 5 references it cites were found in a registry or an index.
Investor Sentiment and Asset Valuation
Open accessAbstract
The link between asset valuation and investor sentiment is the subject of considerable debate in the profession. If excessive optimism drives prices above intrinsic values, periods of high sentiment should be followed by low returns, as market prices revert to fundamental values. Using survey data on investor sentiment, we provide evidence that sentiment affects asset valuation. Market pricing errors implied by an independent valuation model are positively related to sentiment. Future returns over multiyear horizons are negatively related to sentiment. These results are robust to the inclusion of other variables that have been shown to forecast stock returns.
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Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
On Persistence in Mutual Fund Performance
Carhart, M. M. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03808.x · Cited by 17,283
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
JEGADEESH, N., & TITMAN, S. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb04702.x · Cited by 11,584
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Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
Hodrick, R. J. (1992) · Review of Financial Studies · doi:10.1093/rfs/5.3.351 · Cited by 1,523
Cited by
The Sum of All FEARS Investor Sentiment and Asset Prices
Da, Z., Engelberg, J., & Gao, P. (2015) · Review of Financial Studies · doi:10.1093/rfs/hhu072 · Cited by 1,379
Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
Huang, D., Jiang, F., Tu, J., & Zhou, G. (2015) · Review of Financial Studies · doi:10.1093/rfs/hhu080 · Cited by 1,123
Cognitive Dissonance, Sentiment, and Momentum
Antoniou, C., Doukas, J. A., & Subrahmanyam, A. (2013) · Journal of Financial and Quantitative Analysis · doi:10.1017/s0022109012000592 · Cited by 405
Traders' Expectations in Asset Markets: Experimental Evidence
Haruvy, E., Lahav, Y., & Noussair, C. N. (2007) · American Economic Review · doi:10.1257/aer.97.5.1901 · Cited by 398
Oliveira, N., Cortez, P., & Areal, N. (2017) · Expert Systems with Applications · doi:10.1016/j.eswa.2016.12.036 · Cited by 398
Metadata
- Authors
- Brown, G. W., & Cliff, M. T.
- Venue
- The Journal of Business
- Publisher
- University of Chicago Press
- Published
- 2005-03
- Volume
- 78
- Issue
- 2
- Pages
- 405-440
- ISSN
- 0021-9398 (ISSN-L)
- 1537-5374
- OpenAlex
- W3125091826
- Cited by
- 1,058
- References
- 5
- FWCI
- 27.26
- Type
- journal article
- Language
- en
- Open access
- green
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Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
