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1、THEJOURNALOFFINANCE•VOL.LXI,NO.4•AUGUST2006InvestorSentimentandtheCross-SectionofStockReturnsMALCOLMBAKERandJEFFREYWURGLER∗ABSTRACTWestudyhowinvestorsentimentaffectsthecross-sectionofstockreturns.Wepre-dictthatawaveofinvestorsentimenthaslargereffectsonsecuritieswhos
2、evalua-tionsarehighlysubjectiveanddifficulttoarbitrage.Consistentwiththisprediction,wefindthatwhenbeginning-of-periodproxiesforsentimentarelow,subsequentre-turnsarerelativelyhighforsmallstocks,youngstocks,highvolatilitystocks,un-profitablestocks,non-dividend-payings
3、tocks,extremegrowthstocks,anddistressedstocks.Whensentimentishigh,ontheotherhand,thesecategoriesofstockearnrelativelylowsubsequentreturns.CLASSICALFINANCETHEORYLEAVESNOROLEFORINVESTORSENTIMENT.Rather,thistheoryarguesthatcompetitionamongrationalinvestors,whodiversify
4、toopti-mizethestatisticalpropertiesoftheirportfolios,willleadtoanequilibriuminwhichpricesequaltherationallydiscountedvalueofexpectedcashflows,andinwhichthecross-sectionofexpectedreturnsdependsonlyonthecross-sectionofsystematicrisks.1Evenifsomeinvestorsareirrational,
5、classicaltheoryar-gues,theirdemandsareoffsetbyarbitrageursandthushavenosignificantimpactonprices.Inthispaper,wepresentevidencethatinvestorsentimentmayhavesignifi-canteffectsonthecross-sectionofstockprices.Westartwithsimpletheoreticalpredictions.Becauseamispricingist
6、heresultofanuninformeddemandshockinthepresenceofabindingarbitrageconstraint,wepredictthatabroad-basedwaveofsentimenthascross-sectionaleffects(thatis,doesnotsimplyraiseorlowerallpricesequally)whensentiment-baseddemandsorarbitrage∗BakerisattheHarvardBusinessSchoolandN
7、ationalBureauofEconomicResearch;WurglerisattheNYUSternSchoolofBusinessandtheNationalBureauofEconomicResearch.Wethankananonymousreferee,RobStambaugh(theeditor),NedElton,WayneFerson,XavierGabaix,MartyGruber,LisaKramer,OwenLamont,MartinLettau,AnthonyLynch,JayShanken,Me
8、irStatman,SheridanTitman,andJeremySteinforhelpfulcomments,aswellasparticipantsofconferencesorseminarsatBaruchCollege,BostonCollege,theChic
