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152th biweekly Academic Forum

作者:     日期:2015-10-23    来源:

Topic: Investor Sentiment: Behavioural or Rational?

Keynote Speaker: Tu Jun, associate professor of finance of Singapore Management University, chairman of Asian Asset Securitization and Asset Management Center in Sim Kee Boon Institute for Financial Economics. He acquired PhD in Financial degree in New York University with the degree of in 2004. His major research areas cover empirical asset pricing, asset allocation, predict, behavioral finance, portfolio management, finance econometrics and Byes financial analysis. His research outcomes were published on Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Management Science, etc. Meanwhile, his research outcomes implied financial field. For example, some of his research outcomes were published on CFA Digest, Citibank Reports, etc. Furthermore, he

pays close attention to Chinese stock market for a long time and published many research paper related to this area.

Time & Date: 0:30-1:30 p.m., Oct. 26th 2015

Address: Room 913, Main Building of Central University of Finance and Economics.

Moderator: Jiang Fuwei, Lecturer of School of Finance, Central University of Finance and Economics.

Abstract: In this paper, we first remove fundamental information content from Baker and Wurgler(2006) six sentiment proxies thoroughly. Then we exploit the residual non-fundamental information of Baker and Wurgler(2006) six sentiment proxies in a more efficient manner to obtain a new purged index for the purpose of explaining the expected return cross-sectionally. Empirically, we find that our purged investor sentiment index has a similar or greater power in predicting the stock returns cross-sectionally as using the original Baker and Wurgler (2006) sentiment index without removing much fundamental information content. As a result, our purged sentiment index could be considered as a better measure of a behavioural driven investor sentiment. In addition, our study show that the original Baker and Wurgler (2006) sentiment index captures a behavioural driven investor sentiment component. Therefore, it seems fine for many studies to adopt the Baker and Wurgler (2006) sentiment index with a behavioural interpretation.