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  - 

TY  - JOUR
T1  - Emerging market crises and US equity market returns
JF  - Global Finance Journal
Y1  - 2011
A1  - Berger,Dave
A1  - Turtle,Harry J
KW  - Finance
AB  - We 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.
VL  - 22
CP  - 1
U2  - a
U4  - 31303708673
ID  - 31303708673
ER  - 

TY  - JOUR
T1  - Time variability in market risk aversion
JF  - Journal of Financial Research
Y1  - 2009
A1  - Berger,Dave
A1  - Turtle,Harry J
KW  - Finance
AB  - We 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.
VL  - 32
UR  - http://www.blackwellpublishing.com/journal.asp?ref=0270-2592
CP  - 3
U2  - a
U4  - 10695460865
ID  - 10695460865
ER  -