The relationship between market sentiment index and stock returns: a panel data analysis / A relação entre índice de sentimento de mercado e as taxas de retorno das ações: uma análise com dados em painel

AUTOR(ES)

Claudia Emiko Yoshinaga

DATA DE PUBLICAÇÃO

2009

RESUMO

In classical nance theory investor sentiment is not considered an important factor in asset pricing. Although the existence of investor sentiment is not denied, theories assume that in competitive markets quasi-rational behavior is quickly oset by rational agents. The main goal of this thesis is to investigate the relationship between investor sentiment and future stock return rates. It is proposed a methodology to create a sentiment index specically to the Brazilian market using principal components analysis. In order to analyze the relationship between this sentiment index and the future stock returns, it was estimated a pricing model including this variable for the period comprehending 1999 to 2008. Considering a negotiability restriction to assure representative and sucient observations to validate a pricing model, the sample consisted of non-nancial rms listed at BOVESPA. The pricing model was estimated by GMM considering the sentiment index, systematic risk (market beta) and factors as rm size, market-to-book ratio, leverage and return predictability measured by momentum or income growth. Dierent estimation procedures were applied to nd empirical models coecients which are less aected by spurious inuence such as unobserved heterogeneity, outliers or possible regressors endogeneity. Results of the empirical study suggest that sentiment is a relevant factor in Brazilian asset pricing models. A negative and statistically signicant relationship between the sentiment index and stock returns was consistently found in dierent models especications. These ndings suggest the existence of a reversion pattern in stock returns, meaning that after a positive sentiment period, the impact on subsequent stock returns is negative and vice-versa.

ASSUNTO(S)

Índice de sentimento de mercado modelo de apreçamento pricing model dados em painel panel data analysis market sentiment index

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