Anomalies and Investor Sentiment: Empirical Evidences in the Brazilian Market



Document title: Anomalies and Investor Sentiment: Empirical Evidences in the Brazilian Market
Journal: BAR - Brazilian Administration Review
Database:
System number: 000552966
ISSN: 1807-7692
Authors: 1
1
Institutions: 1Universidade Federal da Paraiba, Joao Pessoa, Paraiba. Brasil
Year:
Volumen: 14
Number: 3
Country: Brasil
Language: Inglés
Document type: Artículo
English abstract This study examined the relationship between investor sentiment and value anomalies in Brazil. In addition, it analyzed if pricing deviations caused by investors with optimistic views are different from those caused by pessimistic investors. The sample included all non-financial firms listed on the B3 (Brasil, Bolsa, Balcão) stock exchange from July 1999 to June 2014. We used the Principal Component Analysis multivariate technique to capture the component common to four different proxies for investor sentiment. The study empirically tested the index series and its variation on the return series of Long-Short portfolios of 12 anomaly-based strategies. The study found that the measure of the sentiment index had a partial explanatory power for the anomalies only when included in the CAPM. Yet, when using the index sentiment changes as an explanatory variable, the study found a relationship with future returns, robust to all risk factors. Thus, it is possible to relate investor sentiment index to anomaly-based portfolio returns. When analyzing average returns after optimistic and pessimistic periods, the values we found in our empirical test were not statistically significant enough to infer the possible existence of short-sale constraints.
Disciplines: Economía
Keyword: Inversiones
Keyword: Investor sentiment index,
Value anomalies,
Long-short strategies,
Investments
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