Title page for etd-0626112-103846


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URN etd-0626112-103846
Author Hsiao-Wei Lin
Author's Email Address No Public.
Statistics This thesis had been viewed 5564 times. Download 181 times.
Department Finance
Year 2011
Semester 2
Degree Master
Type of Document
Language English
Title Can investors earn abnormal returns from negative sentiment market? Evidence from customer-based portfolios.
Date of Defense 2012-05-31
Page Count 61
Keyword
  • Abnormal returns
  • Firm performance
  • Cash flow
  • Customer satisfaction
  • Investor sentiment
  • Market returns
  • Financial models
  • Abstract A large body of literature has explored that investor sentiment and customer satisfaction have been viewed as important metrics to evaluate asset prices, little attention has been paid to whether investor sentiment influence the impact of customer satisfaction on stock returns. This paper examines whether customer-based portfolios can create abnormal returns by employing different risk-adjusted models in different sentiment states. This study finds that portfolio composed of firms with better customer satisfaction can continuously beat the benchmark index and create abnormal returns when adopting different risk-adjusted models. Furthermore, portfolio with better customer satisfaction can significantly outperform the market even in pessimistic and neutral investor sentiment state. This is because of higher CS firms can create stable business cash flows, alleviate customer complaints and strengthen customer loyalty, which will create insurance-like protection for firms in
    pessimistic investor state, which results in significant abnormal returns even in pessimistic investor state. These results suggest that customer-based metrics are valuable information that should be included in financial models.
    Advisory Committee
  • Chun-Hua Tung - chair
  • Chi-Lu Peng - co-chair
  • Miao-Ling Chen - advisor
  • Files
  • etd-0626112-103846.pdf
  • Indicate in-campus at 5 year and off-campus access at 5 year.
    Date of Submission 2012-06-26

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