Skip to Main Content
HBS Home
  • About
  • Academic Programs
  • Alumni
  • Faculty & Research
  • Baker Library
  • Giving
  • Harvard Business Review
  • Initiatives
  • News
  • Recruit
  • Map / Directions
Faculty & Research
  • Faculty
  • Research
  • Featured Topics
  • Academic Units
  • …→
  • Harvard Business School→
  • Faculty & Research→
Publications
Publications
  • Second Quarter 2008
  • Article
  • Journal of Investment Management

How Does Investor Sentiment Affect the Cross-Section of Returns

By: Malcolm Baker, Johnathan Wang and Jeffrey Wurgler
  • Format:Print
  • | Pages:16
ShareBar

Abstract

Broad waves of investor sentiment should have larger impacts on securities that are more difficult to value and to arbitrage. Consistent with this intuition, we find that when an index of investor sentiment takes low values, small, young, high volatility, unprofitable, non-dividend-paying, extreme growth, and distressed stocks earn relatively higher subsequent returns. When sentiment is high, the aforementioned categories of stocks earn relatively lower subsequent returns.

Keywords

Volatility; Behavioral Finance; Stocks; Investment; Investment Return; Attitudes

Citation

Baker, Malcolm, Johnathan Wang, and Jeffrey Wurgler. "How Does Investor Sentiment Affect the Cross-Section of Returns." Journal of Investment Management 6, no. 2 (Second Quarter 2008): 57–72.
  • Find it at Harvard

About The Author

Malcolm P. Baker

Finance
→More Publications

More from the Authors

    • January 2022 (Revised January 2022)
    • Faculty Research

    The Impact Developers Fund

    By: Malcolm Baker, Samuel Gregory Hanson, Jonathan Wallen and Zach Komes
    • December 2021 (Revised December 2021)
    • Faculty Research

    Thrive Earlier Detection

    By: Malcolm Baker and William Vrattos
    • August 2020
    • Journal of Financial and Quantitative Analysis

    Leverage and the Beta Anomaly

    By: Malcolm Baker, Mathias F. Hoeyer and Jeffrey Wurgler
More from the Authors
  • The Impact Developers Fund By: Malcolm Baker, Samuel Gregory Hanson, Jonathan Wallen and Zach Komes
  • Thrive Earlier Detection By: Malcolm Baker and William Vrattos
  • Leverage and the Beta Anomaly By: Malcolm Baker, Mathias F. Hoeyer and Jeffrey Wurgler
ǁ
Campus Map
Harvard Business School
Soldiers Field
Boston, MA 02163
→Map & Directions
→More Contact Information
  • Make a Gift
  • Site Map
  • Jobs
  • Harvard University
  • Trademarks
  • Policies
  • Digital Accessibility
Copyright © President & Fellows of Harvard College