with this hypothesis, we show that a one-standard-deviation increase in aggregate uncertainty amplifies the predictive … ability of sentiment for market returns by two to four times relative to when uncertainty is at its mean. We find similar … sensitive to sentiment and for anomaly returns is substantially larger in times of higher uncertainty. The results hold for both …

Systematic mispricing primarily affects speculative stocks and predominantly results in overpricing, predicting lower … exposure to systematic mispricing can bias tests of risk-return tradeoffs. Controlling for systematic mispricing, we recover … models can be recovered by accounting for time-varying common mispricing …

This paper investigates whether central banks can attenuate excessive mispricing in stocks as suggested by the … component, a risk premium, and a mispricing component. We argue that mispricing can arise for two reasons: (i) from false … policy shock is ambiguous in both the short- and long-run, and depends on the nature of the mispricing. Subsequently, we …

indicate that volatility is not related to the evolution of jumps but the uncertainty about volatility is. More uncertainty … positive price jumps are less likely. We highlight the unique information content in volatility uncertainty and further show …