Idiosyncratic Risk, Stock Returns and Investor Sentiment

Asian Economic and Financial Review

Tsung-Yu Hsieh^1¹ 

[1] Assistant professor, Department of Finance, MingDao University ChangHua, Taiwan Associate professor, Department of Marketing and Distribution Management, Wufeng University, Chiayi, Taiwan Department of Finance, MingDao University, ChangHua, Taiwan^1

关键词: Investor sentiment;    Panel threshold regression;    Idiosyncratic risk;    Stock returns.;    Threshold value;    Dual-classification process.;   

DOI  :  10.18488/journal.aefr.2018.87.914.924

学科分类：社会科学、人文和艺术（综合）

来源: Asian Economic and Social Society

【 摘 要 】

A growing number of studies show that idiosyncratic risk is positively related to stock returns. However, the results of such works are not consistent with each other. Since the weighting function of prospect theory is not linear, this implies that when investors make decisions under uncertainty they use a dual-classification process. This paper thus argues that applying a more appropriate research method could help to clarify the relationship between idiosyncratic risk and stock returns. This paper applies a Panel Smooth Transition Regression model to conduct an empirical study. The results show that idiosyncratic risk is positively related to stock returns, as is investor sentiment. For a given idiosyncratic risk, retail investors with low sentiment require lower stock returns than investors with high sentiment.

【 授权许可】

CC BY