Research news, analysis and insights

The behaviour of sentiment-induced share returns: Measurement when fundamentals are observable

Ian Cooper discusses the effect of sentiment on returns using a sample of upstream oil stocks where we have a good proxy for fundamental value. For this sample, the influence of sentiment is highly time-varying, appearing only after the post-2000 increased interest in oil-related assets. Contrary to the hard-to-arbitrage hypothesis, sentiment affects returns on these stocks principally through their fundamentals rather than through deviations from fundamentals.

Total
0
Shares
Leave a Reply

Your email address will not be published. Required fields are marked *

Previous Article

A Measure of Pure Home Bias

Next Article

The equity home bias

×
You have free insight(s) remaining for this month.
Related Posts
error: Faculti Content is protected. Please check our Privacy Policy and Terms and Conditions.

Add the Faculti Web App to your Mobile or Desktop homescreen

Install
×