Investor sentiment and stock returns
Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2014.
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| Format: | Thesis |
| Language: | eng |
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Massachusetts Institute of Technology
2014
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| Online Access: | http://hdl.handle.net/1721.1/88379 |
| _version_ | 1811094115694149632 |
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| author | Brookins, Benjamin David Lee |
| author2 | Adrien Verdelhan. |
| author_facet | Adrien Verdelhan. Brookins, Benjamin David Lee |
| author_sort | Brookins, Benjamin David Lee |
| collection | MIT |
| description | Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2014. |
| first_indexed | 2024-09-23T15:55:19Z |
| format | Thesis |
| id | mit-1721.1/88379 |
| institution | Massachusetts Institute of Technology |
| language | eng |
| last_indexed | 2024-09-23T15:55:19Z |
| publishDate | 2014 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/883792019-04-10T11:16:06Z Investor sentiment and stock returns Sentiment shocks and stock returns Brookins, Benjamin David Lee Adrien Verdelhan. Sloan School of Management. Sloan School of Management. Sloan School of Management. 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). 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. by Benjamin David Lee Brookins. S.M. in Management Research 2014-07-11T21:07:31Z 2014-07-11T21:07:31Z 2014 2014 Thesis http://hdl.handle.net/1721.1/88379 881181781 eng 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. http://dspace.mit.edu/handle/1721.1/7582 45 pages application/pdf Massachusetts Institute of Technology |
| spellingShingle | Sloan School of Management. Brookins, Benjamin David Lee Investor sentiment and stock returns |
| title | Investor sentiment and stock returns |
| title_full | Investor sentiment and stock returns |
| title_fullStr | Investor sentiment and stock returns |
| title_full_unstemmed | Investor sentiment and stock returns |
| title_short | Investor sentiment and stock returns |
| title_sort | investor sentiment and stock returns |
| topic | Sloan School of Management. |
| url | http://hdl.handle.net/1721.1/88379 |
| work_keys_str_mv | AT brookinsbenjamindavidlee investorsentimentandstockreturns AT brookinsbenjamindavidlee sentimentshocksandstockreturns |