We investigate the pricing implication of liquidity risks in the liquidity-adjusted capital asset pricing model of Acharya and Pedersen (2005), using multiple liquidity measures and their principal component. While we find that the empirical results are sensitive to the liquidity measure used in...

By using an extensive dataset of more than 32 million messages on 91 firms posted on the Yahoo! Finance message board over the period January 2005 to December 2010, we examine whether investor sentiment as expressed in posted messages has predictive power for stock returns, volatility, and...