Investor sentiment in the stock market
By: Malcolm Baker, Jeffrey Wurgler.
Contributors: Wurgler, Jeffrey.; National Bureau of Economic Research.
Series: NBER working paper series -- no. 13189.; Working paper series (National Bureau of Economic Research) -- working paper no. 13189.
Publisher: National Bureau of Economic Research
Published: 2007
Place of publication: Cambridge, Mass
Language: eng
Number of pages: 30
Subjects: Investments -- Psychological aspects; Stocks -- Psychological aspects; Finance -- Psychological aspects
Description: "Real investors and markets are too complicated to be neatly summarized by a few selected biases and trading frictions. The "top down" approach to behavioral finance focuses on the measurement of reduced form, aggregate sentiment and traces its effects to stock returns. It builds on the two broader and more irrefutable assumptions of behavioral finance -- sentiment and the limits to arbitrage -- to explain which stocks are likely to be most affected by sentiment. In particular, stocks of low capitalization, younger, unprofitable, high volatility, non-dividend paying, growth companies, or stocks of firms in financial distress, are likely to be disproportionately sensitive to broad waves of investor sentiment. We review the theoretical and empirical evidence for these predictions."--abstract.
Notes: "June 2007"

Includes bibliographical references (p. 29-30).

Also available in PDF from the NBER world wide web site (www.nber.org).