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http://ssrn.com/abstract=1571491
 
 

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Glamour Brands and Glamour Stocks


Matthew T. Billett


Indiana University - Kelley School of Business - Department of Finance

Zhan Jiang


Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)

Lopo Rego


Indiana University - Kelley School of Business - 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

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Date posted: March 17, 2010 ; Last revised: May 13, 2014

Suggested Citation

Billett, Matthew T. and Jiang, Zhan and Rego, Lopo, Glamour Brands and Glamour Stocks (April 10, 2012). AFA 2011 Denver Meetings Paper. Available at SSRN: http://ssrn.com/abstract=1571491 or http://dx.doi.org/10.2139/ssrn.1571491

Contact Information

Matthew T. Billett
Indiana University - Kelley School of Business - Department of Finance ( email )
1309 E. 10th St.
Bloomington, IN 47405
United States
812-855-3366 (Phone)

Zhan Jiang (Contact Author)
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) ( email )
Shanghai
China
Lopo L. Rego
Indiana University - Kelley School of Business - Department of Marketing ( email )
Kelley School of Business
Bloomington, IN 47405
United States
(812) 855-1202 (Phone)
HOME PAGE: http://www.kelley.iu.edu/Marketing/Faculty/page10754.cfm?ID=33221

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