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Article Dans Une Revue Journal of Applied Business Research Année : 2012

Is Sentiment Risk Priced By Stock Market?


This study tests if the financial markets price the investors sentiment risk. We construct portfolios based upon the stock returns exposure to sentiment. Our results show that the portfolio returns are positively correlated with the exposure of stocks to sentiment. The strategy that consists of buying stocks with the highest exposure to sentiment and selling stocks with the lowest exposure to sentiment generates a significant raw profit. Exploring the sources of profit, we find that neither the traditional risk factors nor the momentum factor can account for the profit. However, we find that the addition of the sentiment risk premium contributes to explain the profit.

Dates et versions

hal-01346767 , version 1 (19-07-2016)



Francisca Beer, Mohamad Watfa, Mohamed Zouaoui. Is Sentiment Risk Priced By Stock Market?. Journal of Applied Business Research, 2012, 28 (4), pp.683-700. ⟨10.19030/jabr.v28i4.7052⟩. ⟨hal-01346767⟩
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