Anomalies and Investor Sentiment: Empirical Evidences in the Brazilian Market

AutorGustavo Correia Xavier - Marcio Andre Veras Machado
CargoUniversidade Federal da Paraíba - Universidade Federal da Paraíba
Available online at
http://www.anpad.org.br/bar
BAR, Rio de Janeiro, v. 14, n. 3,
art. 2, e170028, 2017
http://dx.doi.org/10.1590/1807-7692bar2017170028
Anomalies and Investor Sentiment: Empirical Evidences in the
Brazilian Market
Gustavo Correia Xavier1
Marcio Andre Veras Machado1
Universidade Federal da Paraíba1
Received 12 March 2017; received in revised form 27 June 2017; accepted 8 August 2017; first
published online 5 September 2017.
Editor’s note. Wesley Mendes-da-Silva served as Action Editor for this article.
G. C. Xavier, M. A. V. Machado 2
BAR, Rio de Janeiro, v. 14, n. 3, art. 2, e170028, 2017 www.anpad.org.br/bar
Abstract
This study examined the relationship between investor sentiment an d value anomalies in Brazil. In addition, it
analyzed i f pricing deviations caused by investors with optimistic views a re different from those caused by
pessimistic investors. The sample included all non-financial firms listed on the B3 (Brasil, Bolsa, Balcã o) stock
exchange from July 1999 t o June 2014. We used the Principal Component Analysis multivariate technique to
capture the component common to four different proxies for investor sentiment. The study empirically tested the
index series and its variation on the return series of Long-Short portfolios of 12 anomaly-based strategies. The
study found that the measure of the sentiment index had a partial explanatory power for the anomalies only when
included in the CAPM. Yet, when using the index sentiment changes as an explanatory variable, the study found
a relationship with future returns, robust to all risk factors. Thus, it is possible to relate investor sentiment index
to anomaly-based portfolio returns. When analyzing average returns after optimistic and pessimistic periods, the
values we found in our empirical test were n ot statistically significant enough to infer the possible existence of
short-sale constraints.
Key words: investor sentiment index; value anomalies; long-short strategies.

Para continuar a ler

PEÇA SUA AVALIAÇÃO

VLEX uses login cookies to provide you with a better browsing experience. If you click on 'Accept' or continue browsing this site we consider that you accept our cookie policy. ACCEPT