The sentiment of retail investors relative to that of institutional investors was measured by comparing their respective portfolio allocations to equity versus cash and fixed-income securities. The results suggest that fluctuations in retail sentiment are a primary driver of equity valuations...

This paper provides an analysis of the predictability of stock returns using market, industry, and firm-level earnings. Contrary to Lamont (1998), we find that neither dividend payout ratio nor the level of aggregate earnings can forecast the excess market return. We show that these variables do...

This paper investigates whether realized and implied volatilities of individual stocks can predict the cross-sectional variation in expected returns. Although the levels of volatilities from the physical and risk-neutral distributions cannot predict future returns, there is a significant...