Investor Attention Strategy
In: Journal of Behavioral Finance, Forthcoming
5 Ergebnisse
Sortierung:
In: Journal of Behavioral Finance, Forthcoming
SSRN
In: 29th International Conference of the French Finance Association (AFFI) 2012
SSRN
Working paper
In: Review of financial economics: RFE, Band 41, Heft 2, S. 109-135
ISSN: 1873-5924
AbstractWe suggest that the distortion of the positive risk–return relation in the ICAPM is a consequence of trading by informed investors to exploit mispricing. We hypothesize and demonstrate that a non‐positive (strongly positive) risk–return relation following positive (negative) market returns is attributed to short‐selling (purchasing) of overpriced (underpriced) stocks along with optimistic (pessimistic) expectations conditional on good (bad) market news. We verify this asymmetry in the risk–return relation through the indirect risk–return relation conditional on good (bad) market news. We also find that the attenuation (reinforcement) of the positive risk–return relation is more profound in high‐ (low‐) sentiment periods.
In: Forthcoming in the Journal of Portfolio Management
SSRN
In: Journal of International Money and Finance, Forthcoming
SSRN