Do Investors Care About Sentiment?
Posted: 25 Aug 1998
Results of recent research indicate small investor sentiment, as measured by the change in the discount on closed-end funds, is an important factor in the return-generating process for common stocks. We find no evidence of it being an important factor in the return-generating process. We next examine its impact on expected returns and whether one set of firms with high sensitivity to this factor, closed-end funds, offers, and can be expected to offer a higher expected return. Our findings do not support small investor sentiment as a priced factor, either in common stocks or closed-end funds.
JEL Classification: G12, G14
Suggested Citation: Suggested Citation