摘要：Investorsentimentisanimportantaspectofbehaviouralfinance,whichprovidesexplanationof anomalies to the asset’s intrinsic values. Sentiments can easily affect individual investors.Historically, Australia is regarded as rich in resources but poor in capital, and this motivates the paperto further study and compare the effects of investor sentiment on performance returns. Aggregateand cross-sectional effects, as well as predictive regression analysis to forecast the relationships,while controlling for the macroeconomic variables, are used by employing Consumer ConfidenceIndex (CCI) and trade volume as sentiment proxies. Contrary to some studies with aggregate stockmarkets, it is discovered that in the short term, investor sentiment poses a positive impact withstrong predictive power on the forecast of portfolio returns but not so much in the long run, whichsupports the classical theories of rational investors. In both Australian and New Zealand markets,the sentiment proxies also cannot predict the returns portfolios with dividends in the long/shortportfolio and book-to-market ratio long/short portfolio.
关键词：investor sentiment; return; investment; predictive power; portfolio returns; market efficiency; EMH; anomalies; behavioural finance; performance measures; unit root; macroeconomic variables; consumer confidence Index (CCI); trade volume; dividend per share (DPS); price earning ratio (PE)
