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Article Dans Une Revue The Capco Institute Journal of Financial transformation Année : 2012

Do Investors Care About Noise Trader Risk?

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Résumé

The link between investor sentiment and asset valuation is at the center of a long-running debate in behavioral finance. Using a new composite sentiment indicator, we show that the conventional risk does not explain the abnormal returns of portfolios most sensitive to the sentiment factor. Our result supports the existence of a sentiment risk valued by financial markets. We also find that the firms more impacted by the sentiment risk correspond to difficult-to-arbitrage and hard-to-value stocks, e.g. small stocks, growth stocks, young stocks, unprofitable stocks, lower dividend-paying stocks, intangible stocks and high volatility stocks.
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Dates et versions

hal-01347113 , version 1 (20-07-2016)

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  • HAL Id : hal-01347113 , version 1

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Francisca Beer, Mohamad Watfa, Mohamed Zouaoui. Do Investors Care About Noise Trader Risk?. The Capco Institute Journal of Financial transformation, 2012, 35, pp.48-56. ⟨hal-01347113⟩
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