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The long of it : odds that investor sentiment spuriously predicts anomaly returns
Stambaugh, Robert F.; Yu, Jianfeng; Yuan, Yu - In: Journal of financial economics 114 (2014) 3, pp. 613-619
Persistent link: https://www.econbiz.de/10010532685
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The Short of it : Investor Sentiment and Anomalies
Stambaugh, Robert F. - 2011
This study explores the role of investor sentiment in a broad set of anomalies in cross-sectional stock returns. We consider a setting where the presence of market-wide sentiment is combined with the argument that overpricing should be more prevalent than underpricing, due to short-sale...
Persistent link: https://www.econbiz.de/10013127985
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The Short of It : Investor Sentiment and Anomalies
Stambaugh, Robert F. - 2012
This study explores the role of investor sentiment in a broad set of anomalies in cross-sectional stock returns. We consider a setting where the presence of market-wide sentiment is combined with the argument that overpricing should be more prevalent than underpricing, due to short-sale...
Persistent link: https://www.econbiz.de/10013116326
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The Short of It : Investor Sentiment and Anomalies
Stambaugh, Robert F. - 2011
This study explores the role of investor sentiment in a broad set of anomalies in cross-sectional stock returns. We consider a setting where the presence of market-wide sentiment is combined with the argument that overpricing should be more prevalent than underpricing, due to short-sale...
Persistent link: https://www.econbiz.de/10012461759
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Arbitrage asymmetry and the idiosyncratic volatility puzzle
Stambaugh, Robert F.; Yu, Jianfeng; Yuan, Yu - 2012
Persistent link: https://www.econbiz.de/10009680904
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Arbitrage asymmetry and the idiosyncratic volatility puzzle
Stambaugh, Robert F.; Yu, Jianfeng; Yuan, Yu - In: The journal of finance : the journal of the American … 70 (2015) 5, pp. 1903-1948
Persistent link: https://www.econbiz.de/10011408672
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Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
Stambaugh, Robert F. - 2012
Short selling, as compared to purchasing, faces greater risks and other potential impediments. This arbitrage asymmetry …
Persistent link: https://www.econbiz.de/10013097661
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Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle
Stambaugh, Robert F. - 2020
Many investors purchase stock but are reluctant or unable to sell short. Combining this arbitrage asymmetry with the … arbitrage risk represented by idiosyncratic volatility (IVOL) explains the negative relation between IVOL and average return … determined by combining 11 return anomalies. Consistent with arbitrage asymmetry, the negative relation among overpriced stocks …
Persistent link: https://www.econbiz.de/10012857186
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Anomalies abroad : beyond data mining
Lu, Xiaomeng; Stambaugh, Robert F.; Yuan, Yu - 2017
Persistent link: https://www.econbiz.de/10011847399
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Anomalies abroad : beyond data mining
Lu, Xiaomeng; Stambaugh, Robert F.; Yuan, Yu - 2017
Persistent link: https://www.econbiz.de/10011741422