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| Format: | Artículo científico |
| Language: | en |
| Published: |
Associação Nacional de Pós-Graduação e Pesquisa em Administração
2012
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| Online Access: | https://www.redalyc.org/articulo.oa?id=84123622005 |
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Table of Contents:
- The Relationship between Market Sentiment Index and Stock Rates of Return: a Panel Data Analysis Claudia Emiko Yoshinaga Francisco Henrique Figueiredo de Castro Junior Administración y Contabilidad pricing model GMM panel data Sentiment index This article analyzes the relationship between market sentiment and future stock rates of return. We used a methodology based on principal component analysis to create a sentiment index for the Brazilian market with data from 1999 to 2008. The sample consisted of companies listed on BM&FBOVESPA which were grouped into quintiles, each representing a portfolio, according to the magnitude of the following characteristics: market value, total annualized risk and listing time on BM&FBOVESPA. Next, we calculated the average return of each portfolio for every quarter. The data for the first and last quintiles were analyzed via two-factor ANOVA, using sentiment index of the previous period (positive or negative) as the main factor and each characteristic as controlling factors. Finally, the sentiment index was included in a panel data pricing model. The results indicate a significant and negative relationship between the market sentiment index and the future rates of return. These findings suggest the existence of a reversion pattern in stock returns, meaning that after a positive sentiment period, the impact on subsequent stock returns is negative, and vice-versa. 2012 artículo científico 1807-7692 https://www.redalyc.org/articulo.oa?id=84123622005 en http://www.redalyc.org/revista.oa?id=841 BAR - Brazilian Administration Review application/pdf Associação Nacional de Pós-Graduação e Pesquisa em Administração BAR - Brazilian Administration Review (Brasil) Num.2 Vol.9