| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16898 |
| 来源ID | Working Paper 16898 |
| The Short of It: Investor Sentiment and Anomalies | |
| Robert F. Stambaugh; Jianfeng Yu; Yu Yuan | |
| 发表日期 | 2011-03-24 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | This study explores the role of investor sentiment in a broad set of anomalies in cross-sectional stock returns. We consider a setting where the presence of market-wide sentiment is combined with the argument that overpricing should be more prevalent than underpricing, due to short-sale impediments. Long-short strategies that exploit the anomalies exhibit profits consistent with this setting. First, each anomaly is stronger--its long-short strategy is more profitable--following high levels of sentiment. Second, the short leg of each strategy is more profitable following high sentiment. Finally, sentiment exhibits no relation to returns on the long legs of the strategies. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w16898 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574573 |
| 推荐引用方式 GB/T 7714 | Robert F. Stambaugh,Jianfeng Yu,Yu Yuan. The Short of It: Investor Sentiment and Anomalies. 2011. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16898.pdf（229KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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