01069nas a2200157   4500008004100000245008700041210006900128260000900197300001400206490000700220520051000227653001200737100001700749700002100766856012400787       2012                        eng d00aCross-sectional performance and investor sentiment in a multiple risk factor model0 aCrosssectional performance and investor sentiment in a multiple   c2012  a1107-11210 v363 aThe impact of investor sentiment on stock prices varies in the cross-section. We estimate sentiment sensitivities and find that sentiment-prone stocks exhibit the opaque characteristics hypothesized by Baker and Wurgler (2006). We then examine conditional alphas using investor sentiment as an information variable. Opaque stocks exhibit marginal performance that varies inversely with investor sentiment. Translucent stocks exhibit relatively little variability in performance across levels of sentiment.10aFinance1 aBerger, Dave1 aTurtle, Harry, J  u/biblio/cross-sectional-performance-and-investor-sentiment-multiple-risk-factor-model-001075nas a2200145   4500008004100000245005600041210005600097260000900153490000700162520061200169653001200781100001700793700002100810856009800831       2011                        eng d00aEmerging market crises and US equity market returns0 aEmerging market crises and US equity market returns  c20110 v223 aWe find contagion effects are present in US small size portfolios during emerging market crises due to risk and liquidity concerns. Investors display flight from risk during emerging market crises, and as a result, safer larger stocks exhibit positive abnormal returns. We find little evidence of contagion in aggregate excess US market returns, indicating studies that focus on national aggregates may miss important within market dynamics during emerging market crises. The international dynamics that we document have important implications for investors, even when they may have limited global exposure.10aFinance1 aBerger, Dave1 aTurtle, Harry, J  u/biblio/emerging-market-crises-and-us-equity-market-returns-001014nas a2200157   4500008004100000245004500041210004500086260000900131300001200140490000700152520058200159653001200741100001700753700002100770856006500791       2009                        eng d00aTime variability in market risk aversion0 aTime variability in market risk aversion  c2009  a285-3070 v323 aWe adopt realized covariances to estimate the coefficient of risk aversion across portfolios and through time. Our approach yields second moments that are free from measurement error and not influenced by a specified model for expected returns. Supporting the permanent income hypothesis, we find risk aversion responds to consumption smoothing behavior. As income increases, or as the ratio of consumption-to-income falls, relative risk aversion decreases. We also document variation in risk aversion across portfolios: risk aversion is highest for small and value portfolios.10aFinance1 aBerger, Dave1 aTurtle, Harry, J  uhttp://www.blackwellpublishing.com/journal.asp?ref=0270-2592