Stock-level Sentiment and the Security Market Line
High market beta stocks experience overpricing in periods of high market sentiment, while traditional beta pricing prevails in periods of low market sentiment (Antoniou et al., 2016). I conjecture that the negative (positive) relationship between market beta and expected return in high (low) market...
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| Format: | Others |
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Auckland University of Technology,
2020-10-27T00:54:30Z.
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| Online Access: | Get fulltext |