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dc.contributor.advisorWilson, Craigen_US
dc.contributor.advisorMishra, Deven_US
dc.creatorZaharieva, Ivanaen_US
dc.date.accessioned2013-01-03T22:28:04Z
dc.date.available2013-01-03T22:28:04Z
dc.date.created2011-08en_US
dc.date.issued2012-02-21en_US
dc.date.submittedAugust 2011en_US
dc.identifier.urihttp://hdl.handle.net/10388/ETD-2011-08-268en_US
dc.description.abstractThis paper documents a strong negative relationship between investor sentiment, proxied by the Michigan Consumer Sentiment Index, and cost of equity capital, suggesting that the market prices the predominant market-wide sentiment along with other risk factors. Furthermore, we investigate whether certain features of product market affect expected returns through investor perceptions. While we find no significant marginal effect of sentiment in competitive industries (where sales are spread across many firms), we show that the effect of market overreaction is more pronounced for unique industries (measured by the industry’s median ratio of selling ex-pense to sales). Finally, we observe an inverse relationship between sentiment and industry av-erage degree of market synchronicity (measured by the magnitude of explained variation in stock returns based on the market model). Specifically, we find that the implied cost of equity for in-dustries with lower average market synchronicity is more (negatively) sensitive to investor sen-timent. Our findings are in line with those observed in the behavioural finance literature, which show a more pronounced effect of sentiment on highly volatile stocks.en_US
dc.language.isoengen_US
dc.subjectInvestor sentiment, Cost of equity capitalen_US
dc.titleInvestor Sentiment and Industry Cost of Equity: The Role of Information and Product Market Uniquenessen_US
thesis.degree.departmentEdwards School of Businessen_US
thesis.degree.disciplineFinanceen_US
thesis.degree.grantorUniversity of Saskatchewanen_US
thesis.degree.levelMastersen_US
thesis.degree.nameMaster of Science (M.Sc.)en_US
dc.type.materialtexten_US
dc.type.genreThesisen_US
dc.contributor.committeeMemberMamun, Abdullahen_US
dc.contributor.committeeMemberDanielova, Annaen_US


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