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Re-examining Investor Sentiment and Stock Returns: A Replication and Extension of Baker & Wurgler (2006)
Principal Investigator(s): View help for Principal Investigator(s) Huailu Li, Fudan University
Version: View help for Version V1
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| China-Data-and-Stata-Code | 12/29/2024 08:28:AM | ||
| US-Data-and-Stata-Code | 12/29/2024 09:34:AM | ||
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application/pdf | 442.1 KB | 12/28/2024 07:06:PM |
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application/pdf | 337.6 KB | 12/29/2024 03:17:AM |
Project Citation:
Li, Huailu. Re-examining Investor Sentiment and Stock Returns: A Replication and Extension of Baker & Wurgler (2006). Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2024-12-29. https://doi.org/10.3886/E214361V1
Project Description
Summary:
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This study replicates and extends Baker and Wurgler’s (2006) analysis of investor sentiment’s impact on stock returns. We confirm their findings by showing the significant cross-sectional effect of sentiment in both their original sample (1963–2002) and a new sample (2002–2023). Expanding the scope, we introduce a monthly sentiment measure and analyze the U.S. and Chinese markets (2002–2023). Our results reveal that the predictive strength of sentiment indicators shift or invert over time. In the Chinese market, the expected cross-sectional effects of sentiment disappear when the foundational premise - variance in stock valuation and arbitrage difficulty - is not met.
Scope of Project
JEL Classification:
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A10 General Economics: General
A10 General Economics: General
Manuscript Number:
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111111
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