투자심리지수의 수익률 예측력에 관한 횡단면 분석

The Behavioral Finance predicts that sentiment has stronger effects on stocks that are hard to value and hard to arbitrage. To test this prediction, this study analyzes whether cross-sectional predictability patterns in stock returns depend on the sentiment for beginning-of-period. At first, I construct the quarterly sentiment index for the Korean stock market based on the principal component analysis like Baker and Wurgler (2006, 2007) and form equal-weighted decile portfolios based on several firm characteristics. Using the sentiment index and the monthly returns of decile portfolios between 2001 and 2017, I examine patterns in the average returns across decile portfolios conditional on the sentiment index for beginning-of-period. I find that when beginningof-period sentiment index is high, future returns are relatively low for small firms, firms with less tangible assets, unprofitable firms, firms with volatile stock returns, high MTB stocks, high growth and distressed firms. When sentiment is low, however, these categories of stock earn relatively high subsequent returns. By a multivariate regression approach, I test whether the sentiment index prevailed at the end of the prior quarter forecast the returns of various high-minus-low portfolios after controlling for the well-known risk factors. The regressions confirm the significance of the cross-sectional predictability patterns after including the controls. I examine whether my finding can be explained by the classical alternative view. I find no evidence supporting that the sentiment coincides with time-variation in market betas in a way that could reconcile the above predictability patterns with a conditional CAPM.