The present study examines the influence of investor sentiment on the risk-return relationship in the Brazilian stock market from 2002 to 2015. Using the Consumer Confidence Index as a substitute for the level of investor sentiment, we found that the relationship between conditional variance and...

This paper studies the short-term (21 trading days) behavior of Brazilian stocks in the event of extreme movements in the Brazilian market index. Using cumulative abnormal returns of contrarian and momentum strategies, we find that stocks tend to overreact after negative events while they...