Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If You Use a Screen Reader

This content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.

Investor Sentiment and the Cross-Section of Stock Returns

Malcolm Baker and Jeffrey Wurgler
The Journal of Finance
Vol. 61, No. 4 (Aug., 2006), pp. 1645-1680
Published by: Wiley for the American Finance Association
Stable URL: http://www.jstor.org/stable/3874723
Page Count: 36
  • Read Online (Free)
  • Download ($33.95)
  • Subscribe ($19.50)
  • Cite this Item
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Investor Sentiment and the Cross-Section of Stock Returns
Preview not available

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 categories of stock earn relatively low subsequent returns.

Page Thumbnails

  • Thumbnail: Page 
1645
    1645
  • Thumbnail: Page 
1646
    1646
  • Thumbnail: Page 
1647
    1647
  • Thumbnail: Page 
1648
    1648
  • Thumbnail: Page 
1649
    1649
  • Thumbnail: Page 
1650
    1650
  • Thumbnail: Page 
1651
    1651
  • Thumbnail: Page 
1652
    1652
  • Thumbnail: Page 
1653
    1653
  • Thumbnail: Page 
1654
    1654
  • Thumbnail: Page 
1655
    1655
  • Thumbnail: Page 
1656
    1656
  • Thumbnail: Page 
1657
    1657
  • Thumbnail: Page 
1658
    1658
  • Thumbnail: Page 
1659
    1659
  • Thumbnail: Page 
1660
    1660
  • Thumbnail: Page 
1661
    1661
  • Thumbnail: Page 
1662
    1662
  • Thumbnail: Page 
1663
    1663
  • Thumbnail: Page 
1664
    1664
  • Thumbnail: Page 
1665
    1665
  • Thumbnail: Page 
1666
    1666
  • Thumbnail: Page 
1667
    1667
  • Thumbnail: Page 
1668
    1668
  • Thumbnail: Page 
1669
    1669
  • Thumbnail: Page 
1670
    1670
  • Thumbnail: Page 
1671
    1671
  • Thumbnail: Page 
1672
    1672
  • Thumbnail: Page 
1673
    1673
  • Thumbnail: Page 
1674
    1674
  • Thumbnail: Page 
1675
    1675
  • Thumbnail: Page 
1676
    1676
  • Thumbnail: Page 
1677
    1677
  • Thumbnail: Page 
1678
    1678
  • Thumbnail: Page 
1679
    1679
  • Thumbnail: Page 
1680
    1680