Individual stock sentiment beta and stock returns
C Yang, X Hu - The North American Journal of Economics and Finance, 2021 - Elsevier
Using the data in Chinese stock market, we measure the individual stock sentiment beta,
which is defined as the sensitivity of individual stock returns to the individual stock sentiment …
which is defined as the sensitivity of individual stock returns to the individual stock sentiment …
International evidence on global economic uncertainty and cross‐sectional stock returns
X Chen, B Li, AC Worthington… - International Review of …, 2024 - Wiley Online Library
We investigate the predictive role of global economic uncertainty exposure at the firm level
in the top‐five developed stock markets outside the US. Applying portfolio‐level sorting …
in the top‐five developed stock markets outside the US. Applying portfolio‐level sorting …
Macro disagreement and international stock markets
We examine the effect of macro disagreement on stock returns in an international context.
Except for Italy, all G7 countries present a significant local disagreement beta effect, which is …
Except for Italy, all G7 countries present a significant local disagreement beta effect, which is …
Sentiment and the cross‐section of expected stock returns
The asset pricing Literature suggests market sentiment is a state variable. This study shows
that market sentiment is positively priced at the cross‐section of stock returns, conditional on …
that market sentiment is positively priced at the cross‐section of stock returns, conditional on …
Risk premia, asset price bubbles, and monetary policy
R Jarrow, S Lamichhane - Journal of Financial Stability, 2022 - Elsevier
We develop a dynamic general equilibrium asset pricing model with heterogeneous beliefs
to study the effects of monetary policy on prices, risk premia, asset price bubbles, and …
to study the effects of monetary policy on prices, risk premia, asset price bubbles, and …
Informational Friction, Economic Uncertainty and CDS-Bond Basis
We study how macroeconomic uncertainty (EU) manifests into the cross-sectional variations
of the credit default swap (CDS)-bond bases. We develop a model in which common EU …
of the credit default swap (CDS)-bond bases. We develop a model in which common EU …
Ambiguity, Investor Disagreement, and Expected Stock Returns
L Hsiao - 2022 - search.proquest.com
I set up a disagreement model where traders not only have different interpretations of a
public signal that conveys information of a stock, but are also uncertain about the information …
public signal that conveys information of a stock, but are also uncertain about the information …
Subjective Macroeconomic Disagreement and International Stock Return Predictability
F Jiang, J Yu, H Zhang - Available at SSRN 4562732, 2023 - papers.ssrn.com
This paper examines the implications of US subjective macroeconomic disagreement for
international asset pricing. We construct a US subjective macroeconomic disagreement …
international asset pricing. We construct a US subjective macroeconomic disagreement …
Disagreement Exploitation and the Cross-Section of Hedge Funds Performance
This study examines the role of market disagreement in explaining the cross-section of
hedge fund performance. In a market where disagreement fluctuates, skilled arbitrageurs …
hedge fund performance. In a market where disagreement fluctuates, skilled arbitrageurs …
Dealer Disagreement and Asset Prices in FX Markets
We study the disagreement of foreign exchange (FX) dealers using proprietary survey data
on dealers' price quotes of four currency derivatives with varying tenors. Dealer …
on dealers' price quotes of four currency derivatives with varying tenors. Dealer …