Investor sentiment, misreaction, and the skewness‐return relationship
This study examines the effect of investor sentiment on misreaction and explores the time‐series relationship between risk‐neutral skewness (RNS) and subsequent stock market returns contingent on sentiment‐induced overreaction. Using the adjusted put‐call implied volatility spread as a misreaction p...
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| Published in | The journal of futures markets Vol. 41; no. 9; pp. 1427 - 1455 |
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| Main Author | |
| Format | Journal Article |
| Language | English |
| Published |
Hoboken
Wiley Periodicals Inc
01.09.2021
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| Subjects | |
| Online Access | Get full text |
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| Abstract | This study examines the effect of investor sentiment on misreaction and explores the time‐series relationship between risk‐neutral skewness (RNS) and subsequent stock market returns contingent on sentiment‐induced overreaction. Using the adjusted put‐call implied volatility spread as a misreaction proxy and Bakshi et al.'s method to measure RNS, we find that pessimism leads to overreaction. This overreaction could strengthen the negative RNS‐return relationship, with higher market returns following lower RNS. Our results are robust even after excluding the sample period of the 2008 financial crisis, profiting from market‐timing strategies based on the levels of RNS and overreaction, and using an alternative RNS measure. |
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| AbstractList | This study examines the effect of investor sentiment on misreaction and explores the time‐series relationship between risk‐neutral skewness (RNS) and subsequent stock market returns contingent on sentiment‐induced overreaction. Using the adjusted put‐call implied volatility spread as a misreaction proxy and Bakshi et al.'s method to measure RNS, we find that pessimism leads to overreaction. This overreaction could strengthen the negative RNS‐return relationship, with higher market returns following lower RNS. Our results are robust even after excluding the sample period of the 2008 financial crisis, profiting from market‐timing strategies based on the levels of RNS and overreaction, and using an alternative RNS measure. This study examines the effect of investor sentiment on misreaction and explores the time‐series relationship between risk‐neutral skewness (RNS) and subsequent stock market returns contingent on sentiment‐induced overreaction. Using the adjusted put‐call implied volatility spread as a misreaction proxy and Bakshi et al.'s method to measure RNS, we find that pessimism leads to overreaction. This overreaction could strengthen the negative RNS‐return relationship, with higher market returns following lower RNS. Our results are robust even after excluding the sample period of the 2008 financial crisis, profiting from market‐timing strategies based on the levels of RNS and overreaction, and using an alternative RNS measure. |
| Author | Chen, Chin‐Ho |
| Author_xml | – sequence: 1 givenname: Chin‐Ho orcidid: 0000-0002-4365-9660 surname: Chen fullname: Chen, Chin‐Ho email: chinhoc@fcu.edu.tw organization: Feng Chia University |
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| CitedBy_id | crossref_primary_10_1016_j_pacfin_2024_102439 crossref_primary_10_3390_jrfm18010002 crossref_primary_10_1002_fut_22408 crossref_primary_10_2139_ssrn_3708200 |
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| Snippet | This study examines the effect of investor sentiment on misreaction and explores the time‐series relationship between risk‐neutral skewness (RNS) and... |
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| SubjectTerms | Economic crisis Investor behavior investor sentiment Investors Market timing misreaction Pessimism risk‐neutral skewness Securities markets Skewness Volatility |
| Title | Investor sentiment, misreaction, and the skewness‐return relationship |
| URI | https://onlinelibrary.wiley.com/doi/abs/10.1002%2Ffut.22215 https://www.proquest.com/docview/2558228755 |
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