Investor sentiment and the crosssection of （投资者情绪的横截面）.pdf

* Investor sentiment and the cross-section of stock returns Malcolm Baker Harvard Business School and NBER mbaker@ Jeffrey Wurgler NYU Stern School of Business jwurgler@ December 3, 2003 Abstract We examine how investor sentiment affects the cross-section of stock returns. Theory predicts that a broad wave of sentiment will disproportionately affect stocks whose valuations are highly subjective and are difficult to arbitrage. We test this prediction by studying how the cross-section of subsequent stock returns varies with proxies for beginning-of-period investor sentiment. When sentiment is low, subsequent returns are relatively high on smaller stocks, high volatility stocks, unprofitable stocks, non-dividend-paying stocks, extreme-growth stocks, and distressed stocks, consistent with an initial underpricing of these stocks. When sentiment is high, on the other hand, these patterns attenuate or fully reverse. The results are consistent with predictions and appear unlikely to reflect an alternative explanation based on compensation for systematic risk. We thank Ned Elton, Xavier Gabaix, Owen Lamont, Martin Lettau, Anthony Lynch, Sheridan Titman, and Jeremy Stein for helpful comments, as well as participants of seminars at Baruch College, Chicago Quantitative Alliance, the Federal Reserve Bank of New York, Harvard University, Indiana University, NBER, Norwegian School of Economics and Business, Norwegian School of Management, University of Amsterdam, University