"We examine how investor sentiment affects the cross-section of stock returns. Theory predicts that a broad wave of sentiment will disproportionately affect stocks whose valuations are highly subjective and are difficult to arbitrage. We test this prediction by studying how the cross-section of...

A number of studies claim that aggregate managerial decision variables, such as aggregate equity issuance, have power to predict stock or bond market returns. Recent research argues that these results may be driven by an aggregate time-series version of Schultz's (2003) pseudo market timing...

In contrast to the well-known unstable relationship between the returns on government bonds and stock indices, we find that bonds are robustly related to the cross-section of stock returns in both comovement and predictability patterns. Government bonds comove more strongly with bond-like...

In contrast to the well-known unstable relationship between the returns on government bonds and stock indices, we find that bonds are robustly related to the cross-section of stock returns in both comovement and predictability patterns. Government bonds comove more strongly with bond-like...