Reexamination of the Relation Between Investor Sentiment and Profitable Trading Strategies

James Bulsiewicz

Abstract


Recent evidence suggests that there is strong relation between investor sentiment and cross-sectional anomalies. However, using a large collection of cross-sectional anomalies, I find that this relation is weaker than was originally reported in the literature. This suggests that the returns to some anomalies are not due to sentiment-driven mispricing and illustrates the importance of using a large and representative sample when empirically assessing financial theory.


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This work is licensed under a Creative Commons Attribution 4.0 International License.