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Cited by 1,456

The DOI matches its Crossref record; 67 of the 67 references it cites were found in a registry or an index.

Investor Sentiment and the Cross-section of Stock Returns

Open access
Baker, Malcolm P., Wurgler, Jeffrey A.·2003·SSRN Electronic Journal
DOI 10.2139/ssrn.464843
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Abstract

We study how investor sentiment affects the cross-section of stock returns. We predict that a wave of investor sentiment has larger effects on securities whose valuations are highly subjective and difficult to arbitrage. Consistent with this prediction, we find that when beginning-of-period proxies for sentiment are low, subsequent returns are relatively high for small stocks, young stocks, high volatility stocks, unprofitable stocks, non-dividend-paying stocks, extreme growth stocks, and distressed stocks. When sentiment is high, on the other hand, these stocks tend to earn relatively low subsequent returns.

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Crossref · 10.2139/ssrn.464843

Cites

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Metadata

Authors
Baker, M. P., & Wurgler, J. A.
Venue
SSRN Electronic Journal
Publisher
Elsevier BV
Published
2003
ISSN
1556-5068 (ISSN-L)
DOI
10.2139/ssrn.464843
OpenAlex
W2154303208
Cited by
1,456
References
67
Type
posted content
Language
en
Open access
green

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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).

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