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Glamour Brands and Glamour Stocks

45 Pages Posted: 17 Mar 2010 Last revised: 13 May 2014

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

Date Written: April 10, 2012

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.

Keywords: Glamour, Brand equity, HML factor

JEL Classification: G12, G14

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: https://ssrn.com/abstract=1571491 or http://dx.doi.org/10.2139/ssrn.1571491

Matthew 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 Jiao Tong University
211 West Huaihai Road
Shanghai, 200030
China

Lopo 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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