Barone-Adesi, Giovanni; Pisati, Matteo M.; Sala, Carlo - 2018
what is sentiment is still missing. Exploring the links among the most popular proxies of sentiment, fear and uncertainty … this paper aims to fi ll this gap. We show how fear and sentiment are specular in their predictive power in relation to the … aggregate market and to cross-sectional returns. Finally, we document how sentiment and fear time cross-sectional returns …