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1、JournalofEmpiricalFinance19(2012)217–240ContentslistsavailableatSciVerseScienceDirectJournalofEmpiricalFinancejournalhomepage:www.elsevier.com/locate/jempfinWhendoesinvestorsentimentpredictstockreturns?a,1b,2c,⁎San-LinChung,Chi-HsiouHung,Chung-YingYehaDepartmentofFinance,NationalTaiwanU
2、niversity,1,Section4,RooseveltRoad,Taipei106,TaiwanbDurhamBusinessSchool,DurhamUniversity,MillHillLane,Durham,DH13LB,UKcDepartmentofFinance,NationalChungHsingUniversity,250,Kuo-KuangRoad,Taichung402,TaiwanarticleinfoabstractArticlehistory:Weexaminetheasymmetryinthepredictivepowerofinves
3、torsentimentinthecross-sectionReceived13November2010ofstockreturnsacrosseconomicexpansionandrecessionstates.Wetesttheimplicationofbe-Receivedinrevisedform28December2011havioraltheoriesandevidencethatthereturnpredictabilityofsentimentshouldbemostpro-Accepted19January2012nouncedinanexpans
4、ionstatewheninvestors'optimismincreases.WesegregateeconomicAvailableonline27January2012statesaccordingtotheNBERbusinesscyclesandfurtherimplementamultivariateMarkov-switchingmodeltocapturetheunobservabledynamicsofthechangesintheeconomicregime.JELclassification:Theevidencesuggeststhatonly
5、intheexpansionstatedoessentimentperformbothin-sampleE32andout-of-samplepredictivepowerforthereturnsofportfolioformedonsize,book-to-G11marketequityratio,dividendyield,earnings-to-priceratio,age,returnvolatility,assettangi-G12bility,growthopportunities,and11widelydocumentedanomalies.Inare
6、cessionstate,how-G14ever,thepredictivepowerofsentimentisgenerallyinsignificant.©2012ElsevierB.V.Allrightsreserved.Keywords:InvestorsentimentReturnpredictabilityMultivariateMarkov-switchingmodelBootstrap1.IntroductionBehavioraltheoriespositthatinvestorsmayformerroneousstochasticbeliefs,e
7、itherwithexcessiveoptimismorpessimism,andthereforeincorrectlyevaluateassetvalues,causingassetpricestodeviatefromtheirintrinsicvalues(see,e.g.,DeLongetal.(1990),Leeetal.(1991),andKumarandLee(2006)).Themispricinggetscorrectedastheeconomicfundamentalsarerevealedandsentimentwanes.T
