We investigate whether investor sentiment affects the relationships between accounting variables and contemporaneous stock returns. Using price‐relevant accounting variables identified by Chen and Zhang (2007) and the investor sentiment index constructed by Baker and Wurgler (2006), we find that the value relevance of accounting variables is collectively lower in high sentiment periods than in low sentiment periods. More importantly, earnings yield appears to be more related to contemporaneous stock returns in high sentiment periods, while other accounting variables are more related to stock returns in low sentiment periods. The effect of investor sentiment on the value relevance of accounting information is stronger for firms that are more difficult to value and to arbitrage.

中文翻译：

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投资者情绪会影响会计信息的价值相关性吗？

我们调查投资者的情绪是否会影响会计变量与同期股票收益之间的关系。使用Chen和Zhang（2007）确定的与价格相关的会计变量以及Baker和Wurgler（2006）构建的投资者情绪指数，我们发现，在高情绪时期，会计变量的价值相关性总体上低于低情绪时期。更重要的是，在高人气时期，收益率似乎与同时期的股票收益更相关，而其他会计变量与低人气时期的股票收益更相关。对于更难以估值和套利的公司而言，投资者情绪对会计信息价值相关性的影响更大。