Do Investors Care About Sentiment? Export

by: Edwin J. Elton, Martin J. Gruber, Jeffrey A. Busse

The Journal of Business, Vol. 71, No. 4. (1998), pp. 477-500.

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Abstract

Results of recent research indicate small investor sentiment, as measured by the change in the discount on closed-end funds, is an important factor in the return generating process for common stocks. We find no evidence of it being an important factor in the return generating process. We next examine its impact on expected returns and whether one set of firms with high sensitivity to this factor--closed-end funds--offers, and can be expected to offer, a higher expected return. Our findings do not support small investor sentiment as a priced factor, either in common stocks or closed-end funds.

@article{citeulike:185952, abstract = {Results of recent research indicate small investor sentiment, as measured by the change in the discount on closed-end funds, is an important factor in the return generating process for common stocks. We find no evidence of it being an important factor in the return generating process. We next examine its impact on expected returns and whether one set of firms with high sensitivity to this factor--closed-end funds--offers, and can be expected to offer, a higher expected return. Our findings do not support small investor sentiment as a priced factor, either in common stocks or closed-end funds.}, author = {Elton, Edwin J. and Gruber, Martin J. and Busse, Jeffrey A.}, citeulike-article-id = {185952}, citeulike-linkout-0 = {http://www.jstor.org/stable/2353422}, journal = {The Journal of Business}, keywords = {asset\_pricing, finance, sentiment}, number = {4}, pages = {477--500}, posted-at = {2005-05-07 10:16:51}, priority = {2}, title = {Do Investors Care About Sentiment?}, url = {http://www.jstor.org/stable/2353422}, volume = {71}, year = {1998} }

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TY - JOUR ID - citeulike:185952 L3 - citeulike-article-id:185952 N2 - Results of recent research indicate small investor sentiment, as measured by the change in the discount on closed-end funds, is an important factor in the return generating process for common stocks. We find no evidence of it being an important factor in the return generating process. We next examine its impact on expected returns and whether one set of firms with high sensitivity to this factor--closed-end funds--offers, and can be expected to offer, a higher expected return. Our findings do not support small investor sentiment as a priced factor, either in common stocks or closed-end funds. IS - 4 JF - The Journal of Business EP - 500 TI - Do Investors Care About Sentiment? VL - 71 SP - 477 KW - asset_pricing KW - finance KW - sentiment AU - Elton, Edwin AU - Gruber, Martin AU - Busse, Jeffrey PY - 1998/// UR - http://www.jstor.org/stable/2353422 ER -

Do Investors Care About Sentiment? Export

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