what is sentiment is still missing. Exploring the links among the most popular proxies of sentiment, fear and uncertainty …Empirical indicators of sentiment are commonly employed in the economic literature while a precise understanding of … this paper aims to fi ll this gap. We show how fear and sentiment are specular in their predictive power in relation to the …

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 … daily and monthly proxies for sentiment and for various proxies for uncertainty. The evidence sheds light on one component …

robust positive risk-return relations for many cross-sectional risk proxies, including low-risk and distress anomalies. We …

difference in returns is three times larger after periods of high investor sentiment. I use institutional ownership as a proxy …

difference in returns is three times larger after periods of high investor sentiment. I use institutional ownership as a proxy …

Long-short anomaly returns are strongly related to the day of the week. Anomalies for which the speculative leg is the … are large; Monday (Friday) alone accounts for over 100% of returns for all anomalies examined for which the short (long …