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Stochastic investor sentiment, crowdedness and deviation of asset prices from fundamentals

  • Published:2019-06 Issue: Volume:79 Page:130-140
  • ISSN:0264-9993
  • Container-title:Economic Modelling
  • language:en
  • Short-container-title:Economic Modelling

Author:

Zhou Liyun,Yang Chunpeng

Funder

Natural Science Foundation of China

Guangdong Planning Office of Philosophy and Social Science

Natural Science Foundation of Guangdong Province

Department of Education of Guangdong Province

Social Science Foundation of Chinese Education Ministry

Publisher

Elsevier BV

Subject

Economics and Econometrics

Reference55 articles.

1. Overnight returns and firm-specific investor sentiment;Aboody;J. Financ. Quant. Anal.,2018

2. Synchronization risk and delayed arbitrage;Abreu;J. Financ. Econ.,2002

3. Bubbles and crashes;Abreu;Econometrica,2003

4. Does size matter? Assets under management a questionable criterion;Allen;J. Portfolio Manag.,2007

5. What risk matters? A call for papers!;Arnott;Financ. Anal. J.,2003

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