Investor sentiment, disagreement, and the breadth return relationship

• Main Authors: LU, Hai, CEN, Ling, YANG, Liyan
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2012
• Subjects: Investor sentiment; disagreement; breadth of ownership; cross-sectional stock returns; Accounting; Marketing
• Online Access: https://ink.library.smu.edu.sg/soa_research/1597; https://ink.library.smu.edu.sg/context/soa_research/article/2624/viewcontent/mnsc11201633.pdf
• Institution: Singapore Management University

We extend the theory and empirics in Chen, Hong, and Stein (2002) by assuming that investors subject to market sentiment hold a biased belief in the aggregate. With a dynamic multi-asset model, we predict that the breadth-return relationship can be either positive or negative depending on the relati...