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Autor:innen: 
Erscheinungsjahr: 
2023
Quellenangabe: 
[Journal:] Global Business & Finance Review (GBFR) [ISSN:] 2384-1648 [Volume:] 28 [Issue:] 3 [Year:] 2023 [Pages:] 117-135
Verlag: 
People & Global Business Association (P&GBA), Seoul
Zusammenfassung: 
Purpose: This study investigates the return co-movements associated with investor sentiment shifts in the cross-sections under a setting where market-wide sentiment interacts with short-sale impediments. Design/methodology/approach: This study estimates the return sensitivity to market sentiment changes (sentiment beta) for each characteristic's portfolio by regressing the return of each quintile portfolio and various high-minus-low portfolios on the sentiment changes index. It examines whether these cross-sectionally different return co-movement patterns is more prevalent during good- than bad-sentiment periods by performing the same regression separately for the good- and bad-sentiment periods. Findings: The result shows that the returns of speculative stocks tend to co-move more strongly with sentiment changes than those of stable stocks, in the sense that speculative stocks have higher sentiment betas than stable stocks. The cross-sectional pattern in return co-movements becomes more pronounced during the good-sentiment period but disappears during the bad-sentiment periods. Research limitations/implications: This study elucidates the return co-movement behavior associated with investor sentiment changes under a setting where market-wide sentiment interacts with short-sale impediments. However, analyzing the relationship between the investment sentiment index and the short-selling activities is reserved for future research. Originality/value: The results provide important implications for investment strategies using investor sentiment in practice, and several suggestions for establishing investor protection policies in the highly individual-crowded market. This study will contribute to enhancing the stock market efficiency and price discovery.
Schlagwörter: 
Investor sentiment
Sentiment beta
Return co-movement
Cross-sectional analysis
Short-sales impediments
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