Previous studies have demonstrated that investor sentiment affects trading behavior and stock returns, and is correlated with seasons and weather. In addition, a great deal of evidence supports the main systematic factors of the Fama-French (FF) three-factor model. This study presents both the...

We examine the influence of investor sentiment on the risk-reward relationship in the Taiwan stock market. Regression results show that the risk-reward relationship is weakly positive (significantly negative) under low (high) levels of investor sentiment. Granger causality tests indicate...