TY  - JOUR
T1  - Cross-sectional performance and investor sentiment in a multiple risk factor model
JF  - Journal of Banking & Finance
Y1  - 2012
A1  - Berger,Dave
A1  - Turtle,Harry J
KW  - Finance
AB  - The 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.
VL  - 36
CP  - 4
U2  - a
U4  - 31187070977
ID  - 31187070977
ER  -