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Cross-sectional performance and investor sentiment in a multiple risk factor model

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dc.creator Berger, Dave
dc.creator Turtle, H. J.
dc.date.accessioned 2012-10-10T00:34:43Z
dc.date.available 2012-10-10T00:34:43Z
dc.date.issued 2012-04
dc.identifier.citation Berger, D., & Turtle, H. J. (2012). Cross-sectional performance and investor sentiment in a multiple risk factor model. Journal of Banking and Finance, 36(4), 1107-1121. doi: 10.1016/j.jbankfin.2011.11.001 en_US
dc.identifier.uri http://hdl.handle.net/1957/34300
dc.description This is the author's peer-reviewed final manuscript, as accepted by the publisher. The published article is copyrighted by Elsevier and can be found at: http://www.journals.elsevier.com/journal-of-banking-and-finance/. en_US
dc.description.abstract Economists have long recognized the importance of information veracity in valuing risky securities. Market participants concerned about the credibility of information measures may require additional compensation to entice them to hold stocks with less transparent information. These same securities are expected to display greater sensitivities to measures of market sentiment. We find that investor sentiment sensitivities increase directly with multiple measures of opacity in the cross-section. Next we examine the extent to which sentiment sensitivities are priced in an asset pricing context. Using the Jha et al. (2009) model of conditional performance evaluation, we find an inverse relation between ex ante known investor sentiment and the marginal performance of opaque stocks. In contrast, translucent stocks exhibit relatively little variability in performance across levels of sentiment. en_US
dc.language.iso en_US en_US
dc.publisher Elsevier en_US
dc.relation.ispartofseries Journal of Banking and Finance en_US
dc.relation.ispartofseries Vol. 36 no.4 en_US
dc.subject Investor sentiment en_US
dc.subject Asset-pricing en_US
dc.subject Conditional performance en_US
dc.title Cross-sectional performance and investor sentiment in a multiple risk factor model en_US
dc.type Article en_US
dc.description.peerreview yes en_US
dc.identifier.doi 10.1016/j.jbankfin.2011.11.001


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