Investor Sentiment , Disagreement and Return Predictability of Ownership Breadth

@inproceedingsRotman2011InvestorS, title=Investor Sentiment , Disagreement and Return Predictability of Ownership Breadth, author=Ling Cen Rotman, year=2011

We extend theories and empirics in Chen, Hong,and Stein (2002) by allowing investors subject to market sentiment to hold a biased belief in aggregate. With a dynamic multiple-asset model, we show that the ownership breadth-return relationship can be either positive or negative depending on the relative strength of two offsetting forces: (1) variation in disagreement and (2) variation in sentiment. Using sentiment index developed in Baker and Wurgler (2006, 2007), we find evidence consistent

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