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Cross-sectional performance and investor sentiment in a multiple risk factor model
16 references·15 citing·35 second hopsampled
Cross-sectional performance and investor sentiment in a multiple risk factor model (2011)Cross-sectional performance and investor …Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Giving Content to Investor Se…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Profitability, investment and average returns (2006)Profitability, investment and…Investor Sentiment and the Cross‐Section of Stock Returns (2006)Investor Sentiment and the Cr…Investor Sentiment and Asset Valuation (2005)Investor Sentiment and Asset …Investor sentiment and the near-term stock market (2003)Investor sentiment and the ne…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Investor Sentiment and the Closed-End Fund Puzzle (1991)Investor Sentiment and the Cl…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE PERFORMANCE OF MUTUAL FUN…The Performance of Mutual Funds in the Period 1945-1964 (1968)The Performance of Mutual Fun…Carbon risk and debt financing: An international perspective (2025)Carbon risk and debt financin…Investor sentiment: a retail trader activity approach (2022)Investor sentiment: a retail …Impact of Investor Sentiment on Stock Returns* (2022)Impact of Investor Sentiment …The effects of public sentiments and feelings on stock market behavior: Evidence from Australia (2021)The effects of public sentime…Investor Sentiment, Market Competition, and Financial Crisis: Evidence from the Korean Stock Market (2019)Investor Sentiment, Market Co…The 52-week high, momentum, and investor sentiment (2018)The 52-week high, momentum, a…Measurement of Investor Sentiment and Its Bi-Directional Contemporaneous and Lead–Lag Relationship with Returns: Evidence from Pakistan (2018)Measurement of Investor Senti…The Effect of Investor Sentiment on Stock Returns: Insight from Emerging Asian Markets (2017)The Effect of Investor Sentim…Investor sentiment, asset returns and firm characteristics: Evidence from the Korean Stock Market (2017)Investor sentiment, asset ret…Individual stock crowded trades, individual stock investor sentiment and excess returns (2016)Individual stock crowded trad…Sentiment bubbles (2015)Sentiment bubblesInvestor sentiment, customer satisfaction and stock returns (2015)Investor sentiment, customer …Legal opportunism, litigation risk, and IPO underpricing (2014)Legal opportunism, litigation…Investor Sentiment for Real Assets: The Case of Dry Bulk Shipping Market (2013)Investor Sentiment for Real A…Pricing Deviation, Misvaluation Comovement, and Macroeconomic Conditions (2012)Pricing Deviation, Misvaluati…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)An Intertemporal Capital Asset Pricing Model (1973)A Theory of the Term Structure of Interest Rates (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Expected stock returns and volatility (1987)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)Presidential Address: Discount Rates (2011)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)The General Theory of Employment, Interest and Money. (1936)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)In Search of Attention (2011)Textual Analysis in Accounting and Finance: A Survey (2016)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)The short of it: Investor sentiment and anomalies (2011)Policy Uncertainty and Corporate Investment (2015)Multifactor Explanations of Asset Pricing Anomalies (1996)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 2007Giving Content to Investor Sentiment: The Role of Media in the Stock Market4,822 cited
  • 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–19644,330 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 1968The Performance of Mutual Funds in the Period 1945-19641,708 cited
  • 1991Investor Sentiment and the Closed-End Fund Puzzle1,508 cited
  • 2003Investor sentiment and the near-term stock market1,336 cited
  • 2005Investor Sentiment and Asset Valuation1,092 cited

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  • 2006Profitability, investment and average returns939 cited
  • Cited by

    • 2017Investor sentiment, asset returns and firm characteristics: Evidence from the Korean Stock Market80 cited
    • 2013Investor Sentiment for Real Assets: The Case of Dry Bulk Shipping Market77 cited
    • 2016Individual stock crowded trades, individual stock investor sentiment and excess returns77 cited
    • 2022Investor sentiment: a retail trader activity approach57 cited
    • 2017The Effect of Investor Sentiment on Stock Returns: Insight from Emerging Asian Markets52 cited
    • 2021The effects of public sentiments and feelings on stock market behavior: Evidence from Australia51 cited
    • 2019Investor Sentiment, Market Competition, and Financial Crisis: Evidence from the Korean Stock Market45 cited
    • 2018The 52-week high, momentum, and investor sentiment43 cited
    • 2015Investor sentiment, customer satisfaction and stock returns40 cited
    • 2015Sentiment bubbles39 cited
    • 2018Measurement of Investor Sentiment and Its Bi-Directional Contemporaneous and Lead–Lag Relationship with Returns: Evidence from Pakistan38 cited
    • 2022Impact of Investor Sentiment on Stock Returns*35 cited
    • 2012Pricing Deviation, Misvaluation Comovement, and Macroeconomic Conditions30 cited
    • 2025Carbon risk and debt financing: An international perspective23 cited
    • 2014Legal opportunism, litigation risk, and IPO underpricing22 cited