We provide a theoretical framework to examine how investor sentiment impacts the mean-variance tradeoff. We derive a sentiment-adjusted Markowitz efficient frontier in which investor sentiment alters the first two moments of asset returns, the minimum-variance frontier as well as the Capital...

We employ an intertemporal CAPM (Merton, 1973) framework to examine how exposure to currency risk is priced in foreign equity returns. We identify the fundamental determinants of foreign equity return and foreign currency loadings with respect to the world equity factor and global currency risk...

We examine the return information conveyed by a firm’s dividend surprise, defined as the difference between a firm’s actual dividend per share (DPS) and investors’ expected DPS. We find that negative-surprise stocks (i.e., stocks in the lowest dividend surprise quintile) provide 5.64% more...