Stock market volatility, excess returns, and the role of investor sentiment

被引:428
作者
Lee, WY [1 ]
Jiang, CX
Indro, DC
机构
[1] Univ Arkansas, Walton Coll Business Adm, Dept Finance, Fayetteville, AR 72701 USA
[2] Univ Memphis, Fogelman Coll Business & Econ, Finance Area, Memphis, TN 38152 USA
[3] Penn State Univ, Sch Grad Profess Studies, Malvern, PA 19355 USA
关键词
investor sentiment; volatility; excess returns;
D O I
10.1016/S0378-4266(01)00202-3
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Using 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. (C) 2002 Elsevier Science B.V. All rights reserved.
引用
收藏
页码:2277 / 2299
页数:23
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