The relationship between market sentiment index and stock rates of returna panel data analysis

Resumo

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&F BOVESPA 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&F BOVESPA. 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.

Ficha do documento

Tipo

Artigo científico

Ano

2012

Instituição

ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração

Fonte

Repositório da FGV

Idioma

Inglês

Acesso

Acesso aberto

DOI

10.1590/S1807-76922012000200005

Identificador

oai:repositorio.fgv.br:10438/20916

Palavras-chave

Sentiment indexPricing modelGMM panel dataAdministração de empresasMercado de capitaisAções (Finanças)