%0 Journal Article
%T The relationship between market sentiment index and stock rates of return: a panel data analysis
%A Yoshinaga
%A Claudia Emiko
%A Castro Junior
%A Francisco Henrique Figueiredo de
%J BAR. Brazilian Administration Review
%D 2012
%I ANPAD - Associa??o Nacional de P¨®s-Gradua??o e Pesquisa em Administra??o
%R 10.1590/S1807-76922012000200005
%X 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.
%K sentiment index
%K pricing model
%K gmm panel data.
%U http://www.scielo.br/scielo.php?script=sci_abstract&pid=S1807-76922012000200005&lng=en&nrm=iso&tlng=en