Verma, Rahul; Soydemir, Gökçe - In: Journal of Financial Transformation 35 (2012), pp. 57-70
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 … by fundamentals and irrational sentiments not driven by rational risk factors in the case of the U.S. institutional …