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The Long of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns · Study

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PreprintThe Long of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns

Robert F. Stambaugh2012

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Preprintgreen2012

The Long of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns

Robert F. Stambaugh · Jianfeng Yu · Yu Yuan

61 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

1993Common risk factors in the returns on stocks and bonds 1936The General Theory of Employment, Interest and Money.1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1936The General Theory of Employment, Interest and Money, by John Maynard Keynes 2006Investor Sentiment and the Cross‐Section of Stock Returns 1980Financial Ratios and the Probabilistic Prediction of Bankruptcy 2020Integración de los mercados financieros Latinoamericanos por medio de MILA 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION

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2018Oil Prices and Stock Market Anomalies 2016...And Nothing Else Matters? On the Dimensionality and Predictability of International Stock Returns 2020Air pollution and behavioral biases: Evidence from stock market anomalies

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2014The long of it: Odds that investor sentiment spuriously predicts anomaly returnsarticle · 29 shared references 2012Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzlepreprint · 25 shared references 2015What explains the dynamics of 100 anomalies?article · 22 shared references 2020Air pollution and behavioral biases: Evidence from stock market anomaliesarticle · 22 shared references 2015Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzlearticle · 19 shared references 2010When Does Investor Sentiment Predict Stock Returns?article · 19 shared references

Details

Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations61

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.2103302

openalex_workW2101967809

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