Klein, Rudolf F.; Chow, K. Victor - Department of Economics, College of Business and Economics - 2010
We apply Marginal Conditional Stochastic Dominance (MCSD) tests to returns on sentiment beta sorted portfolios and sentiment-arbitrage portfolios, constructed using the Baker and Wurgler (2007) index of sentiment levels. The theory of MCSD demonstrates that, if one (mutually exclusive) subset of...