This study examines the effect of investor sentiment on misreaction and explores the time-series relationship between risk-neutral skewness (RNS) and subsequent stock market returns contingent on sentiment-induced overreaction. Using the adjusted put-call implied volatility spread as a misreaction proxy and Bakshi et al.'s method to measure RNS, we find that pessimism leads to overreaction. This overreaction could strengthen the negative RNS-return relationship, with higher market returns following lower RNS. Our results are robust even after excluding the sample period of the 2008 financial crisis, profiting from market-timing strategies based on the levels of RNS and overreaction, and using an alternative RNS measure.

中文翻译：

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投资者情绪、错误反应和偏度回报关系

本研究考察了投资者情绪对错误反应的影响，并探讨了风险中性偏度 (RNS) 与随后因情绪引起的过度反应而导致的股市回报之间的时间序列关系。使用调整后的看跌期权隐含波动率差价作为错误反应代理和 Bakshi 等人的方法来衡量 RNS，我们发现悲观情绪会导致过度反应。这种过度反应可能会加强负的 RNS 回报关系，在较低的 RNS 之后市场回报更高。即使排除了 2008 年金融危机的样本期，我们的结果也是稳健的，从基于 RNS 和过度反应水平的市场时机策略中获利，并使用替代 RNS 衡量标准。