The short of it
Subtitle: investor sentiment and anomalies
By: Robert F. Stambaugh, Jianfeng Yu, Yu Yuan
Contributors: Yu, Jianfeng; Yuan, Yu; National Bureau of Economic Research
Series: NBER working paper series -- working paper 16898; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 16898.
Publisher: National Bureau of Economic Research
Published: 2011
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "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-ts 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"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 6/9/2011.

Includes bibliographical references.

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Mode of access: World Wide Web.