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Individual stock investor sentiment, stock issuance, and financial market anomalies.

机译：个人股票投资者情绪，股票发行和金融市场异常。

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摘要

There is an interaction effect between cross sectional variation in individual stock investor sentiment and a broad set of financial market anomalies. An average anomaly strategy earns higher (lower) 3-factor alpha conditioned on higher (lower) individual stock investor sentiment. This is mainly driven by the very negative alpha of the high sentiment conditioned short leg of each anomaly. Consequently, buying the low sentiment long leg of each anomaly and shorting the high sentiment short leg of each anomaly yields 0.434% to 0.474% more in monthly three-factor alpha than an unconditional anomaly strategy on average. In contrast, buying the high sentiment long leg of each anomaly and shorting the low sentiment short leg of each anomaly result in no alpha on average.;I present novel evidence that the financial market anomalies are mispricings: firms act as arbitrageurs and tend to issue shares if they are in the short leg of an anomaly. In contrast, firms tend to repurchase shares and/or pay cash dividends if they are in the long leg of an anomaly. Individual stock investor sentiment exaggerates these effects. In particular, firms in the high sentiment short leg of anomalies trade equity ownership for cash or services (e.g. issuance of shares) while firms in the low sentiment long leg of anomalies pay or trade cash for equity ownership (e.g. cash dividends). The difference, measured using the Daniel and Titman (2006) composite issuance measure, is on average 0.535% to 0.632% per month. This is stronger than the unconditional effect by 0.132% to 0.351% per month.
机译：个人股票投资者情绪的横截面变化与广泛的金融市场异常之间存在相互作用的影响。平均异常策略以较高（较低）的个人股票投资者情绪为条件，获得较高（较低）的三因素alpha。这主要是由每个异常的高情绪条件短腿的负alpha值驱动的。因此，购买每个异常的低情感长腿并卖空每个异常的高情感短腿，其每月三因素alpha的收益要比无条件异常策略平均多0.434％至0.474％。相比之下，购买每个异常的高情感长腿并卖空每个异常的低情感短腿，平均不会产生阿尔法。我提供了新的证据，表明金融市场异常是定价错误：公司充当套利者并倾向于发行如果它们处于异常情况的短时间内，则将它们共享。相反，如果公司处于异常状态，往往会回购股票和/或支付现金股利。个人股票投资者的情绪夸大了这些影响。尤其是，处于异常高情绪短线的公司将股权所有权交易为现金或服务（例如股票发行），而处于情绪低迷长期的短线公司将股票所有权的交易或现金支付（例如现金股利）。使用Daniel and Titman（2006）综合发行量度法测得的差异，平均每月为0.535％至0.632％。这比无条件效果强了每月0.132％至0.351％。

著录项

  • 作者

    Lee, Edmund Pak Kuen.;

  • 作者单位

    University of Pennsylvania.;

  • 授予单位 University of Pennsylvania.;
  • 学科 Economics Finance.
  • 学位 Ph.D.
  • 年度 2013
  • 页码 90 p.
  • 总页数 90
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

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