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Sentiment risk premia in the cross-section of global equity and currency returns

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Sentiment Risk Premia in the Cross-Section of Global Equity

Füss, Roland; Guidolin, Massimo; Koeppel, Christian - 2020

This paper introduces a new sentiment-augmented asset pricing model and provides a com-prehensive understanding of the role of this sentiment-driven risk factors. We ﬁnd that news andsocial media search-based indicators are signiﬁcantly related to excess returns of internationalequity...

Persistent link: https://www.econbiz.de/10012832768