Cross-sectional performance and investor sentiment in a multiple risk factor model

The Effect of Investor Sentiment on Stock Returns: Insight from Emerging Asian Markets

“…However, Brown and Cliff (2004) do not find any such increased tendency for sentiment to affect returns of small stocks. In addition, Berger and Turtle (2012) document that sentiment has greater effect on stocks with specific firm characteristics especially firms that are transparent whereas Zhu and Niu (2016) suggest that firms with high information uncertainties are more affected by sentiment. In a recent study, Tuyon, Ahmad and Matahir (2016) note that degree to which sentiment affects stock prices may differ based on firm size.…”

The Effect of Investor Sentiment on Stock Returns: Insight from Emerging Asian Markets

“…In particular, small stocks, volatile stocks, unprofitable stocks, growth stocks and distressed stocks are greatly affected by sentiment. Berger and Turtle (2012) also suggest that sentiment may have a greater impact on firms with certain characteristics, which the authors term as sentiment-prone stocks. Stocks that are harder to value and arbitrage are expected to be sentiment-prone stocks.…”

The Extreme Decline of Investor Sentiment and Market Efficiency: Evidence from the Electric Appliances Industry in Japan

“…Representative researches regarding this market sentiment were conducted by such studies as Lee et al (1991), Barberis et al (1998), Neal and Wheatley (1998), Daniel et al, (1998), Baker and Wurgler (2006), and Baker and Wurgler (2007). Moreover, many new studies follow the above papers are also seen in Tsuji (2006), Kurov (2010), Berger and Turtle (2012), Baker et al (2012), Alimov andMikkelson (2012), andStambaugh et al (2012). However, as far as we know, there seems to be little study which tests the market efficiency when market sentiment is extremely declined.…”