Irek, Fabian; Lehnert, Thorsten; Martelin, Nicolas - Centre de Recherche en Économie Appliquée (CREA), … - 2012
Traditional financial theory predicts that noise trader sentiment plays no role for the cross-sectional pattern in stock returns and in the cross-section of option prices. However, empirical research is challenging that view and finds evidence that investor sentiment can be predicted to affect...