We investigate the existence of evidence of investor sentiment on share price deviations from their intrinsic values across two sentiment regimes of shares market: the low-to-normal and the excess one. We use the residual income valuation model to calculate the intrinsic values of shares based on accounting fundamentals and we suggest a panel data threshold model to capture the sentiment regimes of the market, using as threshold variable alternative investor sentiment indices. The suggested model enables us, first, to endogenously identify from the data the threshold value of a sentiment index triggering market sentiment regime shifts and, based on it, to examine if the effects of investor sentiment on share prices across the above two sentiment regimes are in accordance to the theory. Application of the model to UK data shows that investor sentiment influences positively share prices in the low-to-normal and negatively in the excess one. We also show that investor sentiment dominates risk premium effects on shares characterized by low book-to-market, and dividend- and earnings-to-price ratios. The above results are consistent with the predictions of the sentiment hypothesis.

中文翻译：

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基于会计基本面的投资者情绪对股价偏离其内在价值的影响

我们调查了投资者情绪在股票市场的两种情绪机制中股价偏离其内在价值的证据的存在：低到正常和过度。我们使用剩余收益估值模型来计算基于会计基本面的股票的内在价值，我们建议使用面板数据阈值模型来捕捉市场的情绪状况，使用阈值变量替代投资者情绪指数。首先，建议的模型使我们能够从数据中内生地识别触发市场情绪机制转变的情绪指数的阈值，并在此基础上检查投资者情绪对上述两种情绪机制对股价的影响是否为按照理论。该模型在英国数据中的应用表明，投资者情绪在低到正常的情况下对股价产生积极影响，在超额情况下对股价产生负面影响。我们还表明，投资者情绪主导了股票的风险溢价效应，其特点是账面市值比、股息和市盈率比低。上述结果与情感假设的预测一致。