第434期Seminar金融学系列

报告题目：Purging Investor Sentiment Index from Too Much Fundamental Information

报 告 人：涂俊（Singapore Management University，Associate Professor）

时      间：2017年11月7 日（周二）下午14:30-16:00

地      点：岭南堂汪道涵会议室

语      言：中文+英文

摘要：

Echoing the warning from Baker and Wurgler on their influential investor sentiment index (the BW index) to be contaminated by economic fundamentals, we show that there seems too much (more than 60%) fundamental related information in the BW index. Given the potential risk of producing non-robust or even misleading results based on the seemingly heavily contaminated BW index, we construct a purged version of the BW index (the IS-P index) by removing the large amount of fundamental related information from the BW index. In addition, we show that the IS-P index outperforms the BW index in capturing the sentiment impact on cross-sectional stock returns. Moreover, the IS-P index beats various survey-based sentiment indices while the BW index is not able to do so. Finally, consistent with the recent doubt against the average NYSE share turnover (TURN) to serve as a sentiment indicator, among the six sentiment indicators used to construct the BW index, the relative importance of TURN has dropped significantly in the IS-P index.

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