Investor Sentiment, Corporate Governance and Cross Section of Stock Returns
| Autor: | Wan-Chen Yu, 余宛真 |
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| Rok vydání: | 2015 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 103 This study examines the impact of investor sentiment and corporate governance on the cross-section of stock return. The proxy for investor sentiment is constructed by using Principal Component Analysis with underlying four variables: market turnover, dividend premium, number of IPO, and the IPO first day return proposed by Baker and Wurgler (2006). The empirical results of this study are as follows. First, investor sentiment is a contrarian indicator for future return. The individual stock return is significantly negatively related to the lagged investor sentiment. Second, both the ratio of managerial stockholdings and the ratio of big shareholders’ stockholdings have significantly positive influences on stock returns. Moreover, the higher the ratio of big shareholders’ stockholdings, the lower the negative effect of investor sentiment on future stock return is. This implies that firms with better corporate governance will be less prone to the investor sentiment. At last, it is found that larger-size firms have higher stock returns and are less sensitive to investor sentiment. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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