Investor sentiment is an important driver of sovereign bond returns in emerging markets. Using local sovereign debt and external sovereign debt, this paper finds that sentiment is negatively related to future bond returns on average across emerging market countries. This negative sentiment effect suggests that investors treat emerging market sovereign bonds as risky assets rather than as safe assets. This paper further finds that this sentiment effect is relatively stronger when liquidity frictions are higher, which is consistent with illiquid bonds being generally harder to arbitrage.

中文翻译：

---

投资者情绪和主权债券

投资者情绪是新兴市场主权债券收益的重要驱动力。通过使用本地主权债务和外部主权债务，本文发现新兴市场国家的平均情绪与未来债券收益负相关。这种负面情绪效应表明，投资者将新兴市场主权债券视为风险资产，而不是安全资产。本文进一步发现，当流动性摩擦较高时，这种情绪效应相对较强，这与流动性较弱的债券通常更难以套利相一致。