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Article dans une revue

Do Investors Care About Noise Trader Risk?

Abstract : 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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Contributeur : Crego - Université de Bourgogne <>
Soumis le : mercredi 20 juillet 2016 - 13:33:52
Dernière modification le : mardi 27 octobre 2020 - 14:34:45


  • HAL Id : hal-01347113, version 1



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



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