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Glamour Brands and Glamour StocksMatthew T. BillettIndiana University - Kelley School of Business Zhan JiangShanghai Advanced Institute of Finance (SAIF) Lopo RegoIndiana University Bloomington - Department of Marketing April 10, 2012 AFA 2011 Denver Meetings Paper Abstract: We explore the influence of customer perceptions from the product market on firms’ return characteristics in the stock market. Using a unique dataset containing customers’ opinions on over 1,200 brands, we find that stocks of companies with prestigious brands have large negative loadings on the Fama-French HML factor. This relation holds after controlling for risk explanations of HML (distress risk and asset irreversibility/growth). This relation, however, does not persist over time: it appears (dissipates) when overall market-wide investor sentiment is high (low); it attenuates as the brand becomes well-known; it varies as customer perceptions vary over time; and it diminishes as institutional holdings increase. Overall we conclude that glamour in the product market appears to partially drive glamour in the stock market.
Number of Pages in PDF File: 45 Keywords: Glamour, Brand equity, HML factor JEL Classification: G12, G14 working papers seriesDate posted: March 17, 2010 ; Last revised: April 11, 2012Suggested CitationContact Information
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