Sentiment-Apt Investors and UK Sector Returns

Rilwan Sakariyahu, Mohamed Sherif, Audrey Paterson, Eleni Chatzivgeri

Research output: Contribution to conferencePaper

Abstract

This paper examines the relationship between sentiment-apt investors and UK stock returns at industry level over the period January 1988 to December 2017. Using two new sentiment proxies (laggards to leaders and growth opportunity index) for ten discrete sector groupings, we provide novel evidence on how returns in the UK stock market react to the activities of sentiment-disposed investors. First, using threshold nonlinear regression, we document a significant relationship between the laggards to leaders sentiment proxy and sectoral returns. Our findings reveal that aggregate returns in the sectors are affected by activities of investors who embark on profit-taking when there is an increase in the proportion of lagging to leading stocks beyond the threshold value. Secondly, when using the growth opportunity sentiment proxy, we report that the increase in growth above the growth threshold value has a significant impact on the sectors’ returns. This study further confirms significant impact of non-threshold variables on sector groupings. Our findings are robust, having been subjected to a range of robustness checks.
Original languageEnglish
Number of pages57
Publication statusPublished - 11 Jun 2019
EventINFINITI Conference on International Finance 2019 - Glasgow, United Kingdom
Duration: 9 Jun 201911 Jun 2019

Conference

ConferenceINFINITI Conference on International Finance 2019
CountryUnited Kingdom
CityGlasgow
Period9/06/1911/06/19

Fingerprint

Sentiment
Investor sentiment
Grouping
Growth opportunities
Stock returns
Industry
Proportion
Robustness
Investors
Stock market
Profit
Nonlinear regression

Cite this

Sakariyahu, R., Sherif, M., Paterson, A., & Chatzivgeri, E. (2019). Sentiment-Apt Investors and UK Sector Returns. Paper presented at INFINITI Conference on International Finance 2019, Glasgow, United Kingdom.
Sakariyahu, Rilwan ; Sherif, Mohamed ; Paterson, Audrey ; Chatzivgeri, Eleni. / Sentiment-Apt Investors and UK Sector Returns. Paper presented at INFINITI Conference on International Finance 2019, Glasgow, United Kingdom.57 p.
@conference{f5968df3509a4fddac431b0dd7ed97a9,
title = "Sentiment-Apt Investors and UK Sector Returns",
abstract = "This paper examines the relationship between sentiment-apt investors and UK stock returns at industry level over the period January 1988 to December 2017. Using two new sentiment proxies (laggards to leaders and growth opportunity index) for ten discrete sector groupings, we provide novel evidence on how returns in the UK stock market react to the activities of sentiment-disposed investors. First, using threshold nonlinear regression, we document a significant relationship between the laggards to leaders sentiment proxy and sectoral returns. Our findings reveal that aggregate returns in the sectors are affected by activities of investors who embark on profit-taking when there is an increase in the proportion of lagging to leading stocks beyond the threshold value. Secondly, when using the growth opportunity sentiment proxy, we report that the increase in growth above the growth threshold value has a significant impact on the sectors’ returns. This study further confirms significant impact of non-threshold variables on sector groupings. Our findings are robust, having been subjected to a range of robustness checks.",
author = "Rilwan Sakariyahu and Mohamed Sherif and Audrey Paterson and Eleni Chatzivgeri",
year = "2019",
month = "6",
day = "11",
language = "English",
note = "INFINITI Conference on International Finance 2019 ; Conference date: 09-06-2019 Through 11-06-2019",

}

Sakariyahu, R, Sherif, M, Paterson, A & Chatzivgeri, E 2019, 'Sentiment-Apt Investors and UK Sector Returns' Paper presented at INFINITI Conference on International Finance 2019, Glasgow, United Kingdom, 9/06/19 - 11/06/19, .

Sentiment-Apt Investors and UK Sector Returns. / Sakariyahu, Rilwan; Sherif, Mohamed; Paterson, Audrey; Chatzivgeri, Eleni.

2019. Paper presented at INFINITI Conference on International Finance 2019, Glasgow, United Kingdom.

Research output: Contribution to conferencePaper

TY - CONF

T1 - Sentiment-Apt Investors and UK Sector Returns

AU - Sakariyahu, Rilwan

AU - Sherif, Mohamed

AU - Paterson, Audrey

AU - Chatzivgeri, Eleni

PY - 2019/6/11

Y1 - 2019/6/11

N2 - This paper examines the relationship between sentiment-apt investors and UK stock returns at industry level over the period January 1988 to December 2017. Using two new sentiment proxies (laggards to leaders and growth opportunity index) for ten discrete sector groupings, we provide novel evidence on how returns in the UK stock market react to the activities of sentiment-disposed investors. First, using threshold nonlinear regression, we document a significant relationship between the laggards to leaders sentiment proxy and sectoral returns. Our findings reveal that aggregate returns in the sectors are affected by activities of investors who embark on profit-taking when there is an increase in the proportion of lagging to leading stocks beyond the threshold value. Secondly, when using the growth opportunity sentiment proxy, we report that the increase in growth above the growth threshold value has a significant impact on the sectors’ returns. This study further confirms significant impact of non-threshold variables on sector groupings. Our findings are robust, having been subjected to a range of robustness checks.

AB - This paper examines the relationship between sentiment-apt investors and UK stock returns at industry level over the period January 1988 to December 2017. Using two new sentiment proxies (laggards to leaders and growth opportunity index) for ten discrete sector groupings, we provide novel evidence on how returns in the UK stock market react to the activities of sentiment-disposed investors. First, using threshold nonlinear regression, we document a significant relationship between the laggards to leaders sentiment proxy and sectoral returns. Our findings reveal that aggregate returns in the sectors are affected by activities of investors who embark on profit-taking when there is an increase in the proportion of lagging to leading stocks beyond the threshold value. Secondly, when using the growth opportunity sentiment proxy, we report that the increase in growth above the growth threshold value has a significant impact on the sectors’ returns. This study further confirms significant impact of non-threshold variables on sector groupings. Our findings are robust, having been subjected to a range of robustness checks.

M3 - Paper

ER -

Sakariyahu R, Sherif M, Paterson A, Chatzivgeri E. Sentiment-Apt Investors and UK Sector Returns. 2019. Paper presented at INFINITI Conference on International Finance 2019, Glasgow, United Kingdom.