The long of it: Odds that investor sentiment spuriously predicts anomaly returns

Journal of Financial Economics

Volumn 114, Issue 3, 2014, Pages 613-619

  Stambaugh, Robert F ^a,b   Yu, Jianfeng ^c,e   Yuan, Yu ^a,d  

^a UNIVERSITY OF PENNSYLVANIA   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

^c UNIVERSITY OF MINNESOTA   (United States)

^d Shanghai Jiao Tong University 211 West Huaihai Road   (China)

^e TSINGHUA UNIVERSITY   (China)

Author keywords

Anomalies; Investor sentiment; Spurious regressors

Indexed keywords

EID: 84927645787     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2014.07.008     Document Type: Article

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