Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/50587
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dc.contributor.authorGuo, Xiaen
dc.date.accessioned2012-07-11T06:18:40Zen
dc.date.available2012-07-11T06:18:40Zen
dc.date.copyright2012en
dc.date.issued2012en
dc.identifier.citationGuo, X. (2012). Investor sentiment and the cross-section of stock returns : evidence from China. Doctoral thesis, Nanyang Technological University, Singapore.en
dc.identifier.urihttps://hdl.handle.net/10356/50587en
dc.description.abstractThe thesis studies how investor sentiment affects the cross-section of stock returns in china stock market. I construct an investor sentiment index, which is based on the common variation in four underlying proxies for sentiment: turnover of tradable share, the number and average first-day return of IPOs, and the number of newly opened accounts. I predict that investor sentiment has more pronounced effects on stocks which are more difficult to value and riskier to arbitrage. Consistent with this prediction, I find that when sentiment is high (low), the returns are relatively higher (lower) for small size stocks, high volatility stocks, unprofitable stocks, and extreme growth stocks. When sentiment is low, these categories of stock earn relatively lower returns.en
dc.format.extent44 p.en
dc.language.isoenen
dc.subjectDRNTU::Business::Finance::Equityen
dc.titleInvestor sentiment and the cross-section of stock returns : evidence from Chinaen
dc.typeThesisen
dc.contributor.supervisorChang Xinen
dc.contributor.schoolCollege of Business (Nanyang Business School)en
dc.description.degreeMASTER OF BUSINESSen
dc.identifier.doi10.32657/10356/50587en
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