Investor sentiment and stock returns
Name
881181781-MIT.pdf
Description
Full printable version
Size
1.8 MB
Format
Adobe PDF
Checksum (MD5)
6f5de62e2a3ef4d565c07f6374e21db9
Author(s)
Brookins, Benjamin David Lee
Advisor(s)
Adrien Verdelhan.
Alternative Title
Sentiment shocks and stock returns
Date Issued
2014
Publisher
Massachusetts Institute of Technology
Abstract
Since Keynes coined the term animal spirits economists have been debating what the real impact human psychology is on economic variables. The major challenge in identifying these effects is the close ties between negative (positive) emotions and poor (good) future real outlook. I exploit a historical weighting anomaly in a widely cited US stock index to examine the impact of psychology on stock returns. I first argue this is a plausibly exogenous shock, and compare this measure to other measures found in the literature. I find that the measure doesn't seem to relate to previous proxies for investor sentiment, however, when I examine survey measures of interest rates and consumer confidence we find a relationship. I then examine how sentiment affects the cross section of stock returns, consistent with predictions I find that small stocks earn low subsequent returns when sentiment is low, and high returns when sentiment is high.
Description
Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2014.
Title as it appears in MIT degrees awarded booklet, February 2014: Sentiment shocks and stock returns. Cataloged from PDF version of thesis.
Includes bibliographical references (page 45).
Subjects
Sloan School of Management.
MIT Department
Sloan School of Management
Terms of Use
M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission.
Persistent DSpace Link
