Glamour Brands and Glamour Stocks
Matthew T. Billett
Indiana University - Kelley School of Business - Department of Finance
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Indiana University - Kelley School of Business - Department of Marketing
April 10, 2012
AFA 2011 Denver Meetings Paper
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, G14working papers series
Date posted: March 17, 2010 ; Last revised: May 13, 2014
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