Sentiment and the cross‐section of expected stock returns
Gady Jacoby,
Chi Liao,
Nanying Lin
et al.
Abstract:The asset pricing Literature suggests market sentiment is a state variable. This study shows that market sentiment is positively priced at the cross‐section of stock returns, conditional on aggregate investors’ sentiment. We estimate individual stock sentiment beta and find that, following low‐sentiment periods, stocks in the highest sentiment beta quintile generate a 0.74% higher monthly return than stocks in the lowest sentiment beta quintile. However, this return spread is insignificant following medium‐ or… Show more
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