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Two-period trading sentiment asset pricing model with information
16 references·1 citing·25 second hop
Two-period trading sentiment asset pricing model with information (2013)Two-period trading sentiment asset pricin…Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…The short of it: Investor sentiment and anomalies (2011)The short of it: Investor sen…Retail Investor Sentiment and Return Comovements (2006)Retail Investor Sentiment 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…A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)A Unified Theory of Underreac…Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Psychology and Secur…A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1 (1998)A model of investor sentiment…A model of investor sentiment / (1997)A model of investor sentiment…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Noise (1986)NoiseContinuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Multi-period sentiment asset pricing model with information (2014)Multi-period sentiment asset …Market structure, information, futures markets, and price formation. (1984)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Illiquidity and stock returns: cross-section and time-series effects (2002)The General Theory of Employment, Interest and Money. (1936)The Limits of Arbitrage (1995)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Illusion and well-being: A social psychological perspective on mental health. (1988)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies (2000)Capital markets research in accounting (2001)Risk, Return, and Equilibrium: Empirical Tests (1973)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Judgment under Uncertainty: Heuristics and Biases (1975)Efficient Capital Markets: II (1991)In Search of Attention (2011)Policy Uncertainty and Corporate Investment (2015)
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References

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  • 2003Investor sentiment and the near-term stock market1,390 cited
  • 2005Investor Sentiment and Asset Valuation1,143 cited
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    • 2014Multi-period sentiment asset pricing model with information15 cited