Investor Sentiment, Firm Characteristics and Arbitrage Risk The Arbitrage Factor

2018 ◽  
Author(s):  
Xiao Han
Keyword(s):  
Investor Sentiment ◽  
Firm Characteristics ◽  
Arbitrage Risk

Investor Sentiment and Firm Characteristics: Domestic Evidence

2018 ◽  
Vol 31 (1) ◽  
pp. 1-38
Author(s):  
Doojin Ryu ◽  
◽  
Doowon Ryu ◽  
Heejin Yang
Keyword(s):  
Investor Sentiment ◽  
Firm Characteristics

Cash flow volatility and investor sentiment

2017 ◽  
Vol 43 (2) ◽  
pp. 178-192 ◽  
Author(s):  
Subramanian Rama Iyer ◽  
Joel T. Harper
Keyword(s):  
Cash Flow ◽  
Negative Relationship ◽  
Investor Sentiment ◽  
Firm Characteristics ◽  
Cross Sectional ◽  
Content Type ◽  
Cash Flow Volatility ◽  
Sectional Analysis ◽  
The Relationship ◽  
Better Than

Purpose The purpose of this paper is to test whether investors take flight to safety when sentiment is low. In other words, do safe firms perform better than risky firms following periods of low sentiment. Design/methodology/approach Using cash flow volatility and the percent of bullish investors as proxies for risk and investor sentiment the paper tests the relationship between sentiment and returns conditional on risk this performance. Second, a cross-sectional analysis is conducted based on individual firm characteristics and sentiment to explain annual returns. Findings The paper finds that there is a negative relationship between investor sentiment and the return of risky companies, which is contrary to prior studies. All told, risky companies perform worse following periods of high investor sentiment. Originality/value This paper presents evidence contrary to extant literature and that there is no concerted flight to safety. Investor sentiment has little influence on safe stocks.

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