The Long of It: Odds that Investor Sentiment Spuriously Predicts Anomaly Returns / Robert F. Stambaugh, Jianfeng Yu, Yu Yuan.

Format:

Book

Author/Creator:

Stambaugh, Robert F.

Contributor:

National Bureau of Economic Research.

Yu, Jianfeng.

Yuan, Yu.

Series:

Working Paper Series (National Bureau of Economic Research) no. w18231.

NBER working paper series no. w18231

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2012.

Summary:

Extremely long odds accompany the chance that spurious-regression bias accounts for investor sentiment's observed role in stock-return anomalies. We replace investor sentiment with a simulated persistent series in regressions reported by Stambaugh, Yu and Yuan (2012), who find higher long-short anomaly profits following high sentiment, due entirely to the short leg. Among 200 million simulated regressors, we find none that support those conclusions as strongly as investor sentiment. The key is consistency across anomalies. Obtaining just the predicted signs for the regression coefficients across the 11 anomalies examined in the above study occurs only once for every 43 simulated regressors.

Notes:

Print version record

July 2012.