Investor sentiment and the cross-section of stock returns : evidence from China

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 o...

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Main Author: Guo, Xia
Other Authors: Chang Xin
Format: Theses and Dissertations
Language:English
Published: 2012
Subjects:
Online Access:https://hdl.handle.net/10356/50587
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Institution: Nanyang Technological University
Language: English
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spelling sg-ntu-dr.10356-505872024-01-12T10:10:36Z Investor sentiment and the cross-section of stock returns : evidence from China Guo, Xia Chang Xin Nanyang Business School DRNTU::Business::Finance::Equity 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. MASTER OF BUSINESS 2012-07-11T06:18:40Z 2012-07-11T06:18:40Z 2012 2012 Thesis Guo, X. (2012). Investor sentiment and the cross-section of stock returns : evidence from China. Doctoral thesis, Nanyang Technological University, Singapore. https://hdl.handle.net/10356/50587 10.32657/10356/50587 en 44 p. application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic DRNTU::Business::Finance::Equity
spellingShingle DRNTU::Business::Finance::Equity
Guo, Xia
Investor sentiment and the cross-section of stock returns : evidence from China
description 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.
author2 Chang Xin
author_facet Chang Xin
Guo, Xia
format Theses and Dissertations
author Guo, Xia
author_sort Guo, Xia
title Investor sentiment and the cross-section of stock returns : evidence from China
title_short Investor sentiment and the cross-section of stock returns : evidence from China
title_full Investor sentiment and the cross-section of stock returns : evidence from China
title_fullStr Investor sentiment and the cross-section of stock returns : evidence from China
title_full_unstemmed Investor sentiment and the cross-section of stock returns : evidence from China
title_sort investor sentiment and the cross-section of stock returns : evidence from china
publishDate 2012
url https://hdl.handle.net/10356/50587
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