| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089614 | Journal of Banking & Finance | 2012 | 15 Pages |
Abstract
⺠Sentiment-prone stocks exhibit opaque characteristics, such as high volatility. ⺠Our conditional alpha model offers advantages when performance varies by states. ⺠Opaque stocks offer strong marginal performance following low sentiment periods. ⺠Translucent stock performance is relatively constant across levels of sentiment. ⺠Sentiment is a systematic risk that is not subsumed by additional risk factors.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Dave Berger, H.J. Turtle,