The Relationship between Market Sentiment Index and Stock Rates of Return: a Panel Data Analysis
| Autor | Claudia Emiko Yoshinaga - Francisco Henrique Figueiredo de Castro Junior |
| Cargo | Fundação Getulio Vargas, EAESP/FGV, São Paulo, SP, Brazil - Fundação Escola de Comércio Álvares Penteado, FECAP, São Paulo, SP, Brazil |
Available online at
http://www.anpad.org.br/bar
BAR, Rio de Janeiro, v. 9, n. 2, art. 4,
pp. 189-210, Apr./June 2012
The Relationship between Market Sentiment Index and Stock
Rates of Return: a Panel Data Analysis
Claudia Emiko Yoshinaga *
E-mail address: claudia.yoshinaga@fgv.br
Fundação Getulio Vargas - EAESP/FGV
São Paulo, SP, Brazil.
Francisco Henrique Figueiredo de Castro Junior
E-mail address: henrique.castro@fecap.br
Fundação Escola de Comércio Álvares Penteado - FECAP
São Paulo, SP, Brazil.
* Corresponding author: Claudia Emiko Yoshinaga
Av. Nove de Julho, 2029, Bela Vista, São Paulo, SP, 01313-902, Brazil.
Copyright © 2012 Brazilian Administration Review. All rights reserved, including rights for
translation. Parts of this work may be quoted without prior knowledge on the condition that
the source is identified.
C. E. Yoshinaga, F. H. F. de Castro Jr. 190
BAR, Rio de Janeiro, v. 9, n. 2, art. 4, pp. 189-210, Apr./June 2012 www.anpad.org.br/bar
Abstract
This article analyzes the r elationship 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 l isted on BM&FBOVESPA 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&FBOVESPA. 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 n egative relationship between the market sentiment index and the future rates of r eturn. These
findings suggest the existence of a reversion pattern in stock returns, meaning that a fter a positive sentiment
period, the impact on subsequent stock returns is negative, and vice-versa.
Key words: sentiment index; pricing model; GMM panel data.
Para continuar a ler
PEÇA SUA AVALIAÇÃO
COPYRIGHT TV Trade Media, Inc.
COPYRIGHT GALE, Cengage Learning. All rights reserved.
COPYRIGHT GALE, Cengage Learning. All rights reserved.
