This study explores how a broad set of asset pricing anomalies in the Stock Exchange of Thailand are influenced by a market-wide sentiment effect. The results from a long-short investing strategy, that is used to exploit the mispricing of the anomalies, have pointed to significance benchmark-adjusted return on net operating assets and net composite equity issuance anomalies. However, there are no significance mispricing of anomalies due to sentiment effect in the other 5 anomaly strategies. We conclude that the evidence support sentiment-induced mispricing in the anomalies is mixed in Thai market due to numbers of reasons such as limitation in capturing the mispricing, or it might due to the fact that the anomalies are spurious or disappearing. Further investigation in each leg of portfolios finds that neither the short-legs nor the long-legs are generating significance contribution of returns in the long-short portfolios. These provide unsettled question on how mispricing of anomalies are formed according to sentiment while Stambaugh et al. (2012) find overpricing during the high sentiment period is due to the short-sales impediments.
The Short of it: Investor sentiment and anomalies; Evidence from the Stock Exchange of Thailand
Post by MSF Chula at Sunday, 31 January 2021 11:11 PM
Last updated at Sunday, 31 January 2021 11:11 PM