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Chasing noise in the stock market: an inquiry into the dynamics of investor sentiment and asset pricing
16 references·0 citing·29 second hopsampled
Chasing noise in the stock market: an inquiry into the dynamics of investor sentiment and asset pricing (2023)Chasing noise in the stock market: an inq…Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…The Sum of All FEARS Investor Sentiment and Asset Prices (2014)The Sum of All FEARS Investor…Choices, Values, and Frames (2013)Choices, Values, and FramesGiving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Giving Content to Investor Se…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 the near-term stock market (2003)Investor sentiment and the ne…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)Market efficiency, long-term …On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…The Limits of Arbitrage (1995)The Limits of ArbitrageCommon risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Noise Trader Approach to Finance (1990)The Noise Trader Approach to …A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Noise (1986)NoiseThe arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Framing: Toward Clarification of a Fractured Paradigm (1993)Subjective well-being: Three decades of progress. (1999)Theory of games and economic behavior (2019)A model of investor sentiment /The Behavior of Stock-Market Prices (1965)Market Liquidity and Funding Liquidity (2008)The General Theory of Employment, Interest and Money. (1936)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)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)Investor Psychology and Asset Pricing (2001)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Presidential Address: Discount Rates (2011)Industry costs of equity (1997)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 2006Investor Sentiment and the Cross‐Section of Stock Returns6,042 cited
  • 2013Choices, Values, and Frames5,320 cited
  • 1995The Limits of Arbitrage5,282 cited
  • 2007Giving Content to Investor Sentiment: The Role of Media in the Stock Market4,822 cited
  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • 1998Market 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.12,572 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1986Noise1,783 cited
  • 1990The Noise Trader Approach to Finance1,636 cited
  • 2006Retail Investor Sentiment and Return Comovements1,490 cited
  • 2014The Sum of All FEARS Investor Sentiment and Asset Prices

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1,384 cited
  • 2003Investor sentiment and the near-term stock market1,336 cited
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