Investor sentiment, investor crowded-trade behavior, and limited arbitrage in the cross section of stock returns

被引：0
作者：
Liyun Zhou
Chunpeng Yang
机构：
[1] South China Agricultural University,College of Economics and Management
[2] South China University of Technology,School of Economics and Commerce
来源：
Empirical Economics | 2020年 / 59卷
关键词：
Behavioral finance; Investor sentiment; Investor crowded-trade behavior; Limited arbitrage; Stock prices;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We examine the interaction effects of investor sentiment, investor crowded-trade behavior, and limited arbitrage on the cross section of stock returns. This paper presents strong evidence to reveal that investor crowded-trade behavior will increase stock prices greatly (little) among stocks with positive (negative) investor sentiment; and investor sentiment will increase (not increase) stock prices among stocks with extreme seller-initiated (buyer-initiated) crowded-trade behavior. Furthermore, this paper finds that the benchmark-adjusted returns are positive among stocks with relatively positive investor sentiment and buyer-initiated crowded-trade behavior, and negative among stocks with relatively negative investor sentiment and seller-initiated crowded-trade behavior. Finally, this paper demonstrates that limited arbitrage plays more roles on stocks with pessimistic sentiment and seller-initiated crowded-trade behavior. Taken together, this paper confirms the combined effects of investor sentiment and investor crowded-trade behavior on the cross section of stock returns, and further explores the moderating effect of limited arbitrage.
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页码：437 / 460
页数：23
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