Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/50587
Title: Investor sentiment and the cross-section of stock returns : evidence from China
Authors: Guo, Xia
Keywords: DRNTU::Business::Finance::Equity
Issue Date: 2012
Source: Guo, X. (2012). Investor sentiment and the cross-section of stock returns : evidence from China. Doctoral thesis, Nanyang Technological University, Singapore.
Abstract: The 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.
URI: https://hdl.handle.net/10356/50587
DOI: 10.32657/10356/50587
Fulltext Permission: open
Fulltext Availability: With Fulltext
Appears in Collections:NBS Theses

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