@article {Statman54, author = {Meir Statman}, title = {Investor Sentiment, Stock Characteristics, andReturns}, volume = {37}, number = {3}, pages = {54--61}, year = {2011}, doi = {10.3905/jpm.2011.37.3.054}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Why were the returns of stocks with low book-to-market ratios and high market capitalizations lower, on average, than the returns of stocks with high book-to-market ratios and low market capitalizations? In this paper we pit the characteristics hypothesis against the affect hypothesis. The characteristics hypothesis says that some characteristics, such as low book-to-market ratio and high market capitalization, are associated with high future stock returns in typical investors{\textquoteright} minds. The affect hypothesis says that the names of some companies elicit positive affect which is associated with high future stock returns in typical investors{\textquoteright} minds. We find, through experiments, that the evidence is more consistent with the affect hypothesis than with the characteristics hypothesis.TOPICS: Exchanges/markets/clearinghouses, information providers/credit ratings, statistical methods}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/37/3/54}, eprint = {https://jpm.pm-research.com/content/37/3/54.full.pdf}, journal = {The Journal of Portfolio Management} }