In this paper, we investigate whether the international version of CAPM can price rational and irrational sentiments of … U.S. individual and institutional investor sentiments. The results show that the CAPM prices rational sentiments driven … positively related to returns predicted, as well as those not predicted by the CAPM. We also compare these findings with the …

This study explores the role of investor sentiment in a broad set of anomalies in cross-sectional stock returns. We … prevalent than underpricing, due to short-sale impediments. Long-short strategies that exploit the anomalies exhibit profits …

in stock-return anomalies. We replace investor sentiment with a simulated persistent series in regressions reported by …. The key is consistency across anomalies. Obtaining just the predicted signs for the regression coefficients across the 11 … anomalies examined in the above study occurs only once for every 43 simulated regressors. …