报告:Does Consumer Sentiment Drive Investor Sentiment?
报告人:ZHAN JIANG (STATE UNIVERSITY OF NEW YORK AT BUFFALO)
时间:2010年3月1日(周一)10:30-11:50am
地点:光华新楼217教室
摘要:
We explore the link between consumer sentiment for corporate brands and investor sentiment for their stocks. Using a unique data set that surveys consumers about their opinions on over 1,200 brands, we find that a portfolio of stocks of companies with the most prestigious brands have large negative loadings on the Fama French HML factor while those with the least prestigious brands have a positive loading. Moreover, the difference between HML loadings for the high versus low prestige firms diminishes as consumers become more familiar with a brand. We interpret this as consistent with glamorous brands leading to glamour stocks, but that this glamour effect is attenuated as people become more familiar (informed) with the brands.