Beer, Francisca; Watfa, Mohamad; Zouaoui, Mohamed - Université de Bourgogne - CREGO EA7317 Centre de … - 2011
The link between investor sentiment and asset valuation is at the centre of a long-running debate in behavioral finance. Using a new composite sentiment indicator, we show that the conventional risk does not explain the abnormal returns of portfolios most sensitive to the sentiment factor. Our...