Investor sentiment, disagreement, and the breadth return relationship
We extend the theory and empirics in Chen, Hong, and Stein (2002) by assuming that investors subject to market sentiment hold a biased belief in the aggregate. With a dynamic multi-asset model, we predict that the breadth-return relationship can be either positive or negative depending on the relati...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2012
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soa_research/1597 https://ink.library.smu.edu.sg/context/soa_research/article/2624/viewcontent/mnsc11201633.pdf |
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| Institution: | Singapore Management University |
| Language: | English |