Keywords
Investor sentiment; Anomalies
Article outline
Abstract
Keywords
JEL classification
1. Introduction
2. Motivation
2.1. Market-wide sentiment and short-sale impediments
2.2. Empirical implications
3. Data: investor sentiment and anomalies
3.1. Investor sentiment
3.2. Anomalies
3.3. Long-short strategies
4. Empirical analysis: sentiment and returns
4.1. Average returns: low versus high sentiment
4.2. Predictive regressions
4.3. Asymmetry in pricing or asymmetry in sentiment?
4.4. Factor-related long-short spreads
5. Controlling for additional macrovariables
6. Conclusions
Appendix A. Supplementary data
References
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دوشنبه, 17 آبان 1395 09:49
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