Whether high sentiment among investors is associated with lower risk aversion (Yu and Yuan [2011]) is not so clear. First, in regressions of returns on a proxy for variance, high sentiment comes with a relatively larger noise-to-signal ratio (lower power) and a bigger errors-in-the-regressor...

When regressing return on variance, does a low coefficient necessarily indicate low risk-aversion? Considering CAPM tests conditional on investor sentiment, like in Yu and Yuan [2011], we find that the familiar power issue in single-equation CAPM tests is exacerbated when sentiment is high: the...

We investigate the coexistence of momentum and contrarian strategies in the Australian equity market from 1992 to 2011. We show that contrarian strategies prevail in the short-term investment horizon while momentum strategies dominate in the intermediate- and long-term horizons. However, only...

type="main" xml:id="acfi12022-abs-0001" xml:lang="en" <title type="main">Abstract</title> <p>We examine whether systematic higher moments capture beta asymmetry in an asset pricing model whereby the conditional beta of a risky asset increases (decreases) during a bear (bull) market state. We first provide a simple conceptual...</p>