.png){kind=icon}
Return
Sentiment and uncertainty
.png){kind=icon}
PRE
AI
DOI：10.1016/j.jfineco.2022.05.005.png)
.png){kind=icon}
Original request for help.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
En 中文
Sentiment should exhibit its strongest effects on asset prices at times when valuations are most subjective. Accordingly, we show that a one-standard-deviation increase in ag-gregate uncertainty amplifies the predictive ability of sentiment for market returns by two to four times relative to when uncertainty is at its mean. For the cross-section of returns, the predictive ability of sentiment for assets expected to be most sensitive to sentiment, including existing measures of both risk and mispricing, is substantially larger in times of higher uncertainty. The results hold for both daily and monthly proxies for sentiment and for various proxies for uncertainty.(c) 2022 Elsevier B.V. All rights reserved.
Keywords:
Sentiment
Uncertainty
Market return predictability
Cross-section of returns
Anomalies
Behavioral finance
Journal
IF:
12
Papers:
3.8K
Citations:
5.5W
Organization
Cited Papers
ShareSaveHave individual stocks become more volatile? An empirical exploration of idiosyncratic risk.png)
JOURNAL OF FINANCE
OAAI
JOURNAL OF FINANCEIF9.5
OAAIShareSaveShareSaveShareSaveShareSaveShareSaveShareSaveShareSave
View more