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Sample Selection and the Relation between Investor Sentiment and Profitable Trading Strategies

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-0-387-77439-8_23openalex-extracted

Case Closed

inferredcites →https://doi.org/10.1007/springerreference_1661openalex-extracted

Idiosyncratic Risk

inferredcites →https://doi.org/10.1016/0165-4101(90)90008-ropenalex-extracted

Evidence that stock prices do not fully reflect the implications of current earnings for future earnings

inferredcites →https://doi.org/10.1016/0304-405x(81)90018-0openalex-extracted

The relationship between return and market value of common stocks

inferredcites →https://doi.org/10.1016/0304-405x(83)90031-4openalex-extracted

The relationship between earnings' yield, market value and return for NYSE common stocks

inferredcites →https://doi.org/10.1016/0304-405x(88)90020-7openalex-extracted

Dividend yields and expected stock returns

inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-extracted

Common risk factors in the returns on stocks and bonds

inferredcites →https://doi.org/10.1016/0304-405x(95)00826-zopenalex-extracted

Market underreaction to open market share repurchases

inferredcites →https://doi.org/10.1016/0304-405x(95)00868-fopenalex-extracted

Commonality in the determinants of expected stock returns

inferredcites →https://doi.org/10.1016/j.ijforecast.2010.11.001openalex-extracted

Forecasting abnormal stock returns and trading volume using investor sentiment: Evidence from online search

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ESO compensation: The roles of default risk, employee sentiment, and insider information

inferredcites →https://doi.org/10.1016/j.jfineco.2004.12.001openalex-extracted

Is value riskier than growth?

inferredcites →https://doi.org/10.1016/j.jfineco.2005.09.003openalex-extracted

Strength of analyst coverage following IPOs

inferredcites →https://doi.org/10.1016/j.jfineco.2005.09.009openalex-extracted

Profitability, investment and average returns

inferredcites →https://doi.org/10.1016/j.jfineco.2007.05.008openalex-extracted

Analyst coverage and earnings management

inferredcites →https://doi.org/10.1016/j.jfineco.2008.02.003openalex-extracted

Idiosyncratic risk and the cross-section of expected stock returns

inferredcites →https://doi.org/10.1016/j.jfineco.2009.10.002openalex-extracted

Sentiment and stock prices: The case of aviation disasters

inferredcites →https://doi.org/10.1016/j.jfineco.2010.08.004openalex-extracted

Disagreement and return predictability of stock portfolios

inferredcites →https://doi.org/10.1016/j.jfineco.2010.08.018openalex-extracted

Measuring investor sentiment with mutual fund flows

inferredcites →https://doi.org/10.1016/j.jfineco.2010.10.020openalex-extracted

Country-specific sentiment and security prices☆

inferredcites →https://doi.org/10.1016/j.jfineco.2011.03.024openalex-extracted

Limits-to-arbitrage, investment frictions, and the asset growth anomaly

inferredcites →https://doi.org/10.1016/j.jfineco.2011.05.003openalex-extracted

Is momentum really momentum?

inferredcites →https://doi.org/10.1016/j.jfineco.2011.05.012openalex-extracted

Institutional investors and the limits of arbitrage

inferredcites →https://doi.org/10.1016/j.jfineco.2011.12.001openalex-extracted

The short of it: Investor sentiment and anomalies

inferredcites →https://doi.org/10.1016/s0304-405x(01)00038-1openalex-extracted

Disappearing dividends: changing firm characteristics or lower propensity to pay?

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Stock market volatility, excess returns, and the role of investor sentiment

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The incremental impact of analyst initiation of coverage

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Existence of an equilibrium for a competitive economy

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Capital Investments and Stock Returns

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Arbitrage Risk and Stock Mispricing

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Does Arbitrage Flatten Demand Curves for Stocks?

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Liquidity Risk and Expected Stock Returns

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Arbitrage Risk and Post‐Earnings‐Announcement Drift

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Interpreting the Value Effect Through the Q-Theory: An Empirical Investigation

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Investor Sentiment Aligned: A Powerful Predictor of Stock Returns

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The Delisting Bias in CRSP's Nasdaq Data and Its Implications for the Size Effect

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Differences of Opinion and the Cross Section of Stock Returns

inferredcites →https://doi.org/10.1111/1540-6261.00497openalex-extracted

Book‐to‐Market Equity, Distress Risk, and Stock Returns

inferredcites →https://doi.org/10.1111/j.1475-679x.2006.00196.xopenalex-extracted

Comparing the Post-Earnings Announcement Drift for Surprises Calculated from Analyst and Time Series Forecasts

inferredcites →https://doi.org/10.1111/j.1475-679x.2006.00223.xopenalex-extracted

The Extreme Future Stock Returns Following I/B/E/S Earnings Surprises

inferredcites →https://doi.org/10.1111/j.1475-679x.2008.00290.xopenalex-extracted

Implications of Transaction Costs for the Post–Earnings Announcement Drift

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INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS

inferredcites →https://doi.org/10.1111/j.1540-6261.1977.tb03317.xopenalex-extracted

RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION

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Evidence of Predictable Behavior of Security Returns

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The Long‐Run Performance of initial Public Offerings

inferredcites →https://doi.org/10.1111/j.1540-6261.1992.tb04398.xopenalex-extracted

The Cross-Section of Expected Stock Returns

inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04702.xopenalex-extracted

Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency

inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03807.xopenalex-extracted

The Limits of Arbitrage

inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03818.xopenalex-extracted

The Delisting Bias in CRSP Data

inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00719.xopenalex-extracted

Do Initial Public Offering Firms Purchase Analyst Coverage with Underpricing?

inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01232.xopenalex-extracted

Giving Content to Investor Sentiment: The Role of Media in the Stock Market

inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01262.xopenalex-extracted

Sports Sentiment and Stock Returns

inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01371.xopenalex-extracted

Dissecting Anomalies

inferredcites →https://doi.org/10.1287/mnsc.1110.1356openalex-extracted

Investor Sentiment and Analysts' Earnings Forecast Errors

inferredcites →https://doi.org/10.1287/mnsc.1110.1386openalex-extracted

The Party's Over: The Role of Earnings Guidance in Resolving Sentiment-Driven Overvaluation

inferredcites →https://doi.org/10.2139/ssrn.1107463openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.1108216openalex-extracted

High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence

inferredcites →https://doi.org/10.2139/ssrn.1405511openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.1445634openalex-extracted

When Constraints Bind

inferredcites →https://doi.org/10.2139/ssrn.1449929openalex-extracted

Global, Local, and Contagious Investor Sentiment

inferredcites →https://doi.org/10.2139/ssrn.1481986openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.1570487openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.159293openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.1593728openalex-extracted

Anomalies and Financial Distress

inferredcites →https://doi.org/10.2139/ssrn.166840openalex-extracted

Profitability of Momentum Strategies: An Evaluation of Alternative Explanations

inferredcites →https://doi.org/10.2139/ssrn.1839805openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.1915364openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.203092openalex-extracted

Disappearing Dividends: Changing Firm Characteristics or Lower Propensity to Pay?

inferredcites →https://doi.org/10.2139/ssrn.204488openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.2311618openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.235182openalex-extracted

Does Arbitrage Flatten Demand Curves for Stocks?

inferredcites →https://doi.org/10.2139/ssrn.256926openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.267327openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.268538openalex-extracted

Capital Investments and Stock Returns

inferredcites →https://doi.org/10.2139/ssrn.274204openalex-extracted

Market Reactions to Tangible and Intangible Information

inferredcites →https://doi.org/10.2139/ssrn.279804openalex-extracted

Liquidity Risk and Expected Stock Returns

inferredcites →https://doi.org/10.2139/ssrn.299927openalex-extracted

Market States and Momentum

inferredcites →https://doi.org/10.2139/ssrn.303839openalex-extracted

Market Liquidity as a Sentiment Indicator

inferredcites →https://doi.org/10.2139/ssrn.305282openalex-extracted

Are Momentum Profits Robust to Trading Costs?

inferredcites →https://doi.org/10.2139/ssrn.305479openalex-extracted

The Market for Borrowing Stock

inferredcites →https://doi.org/10.2139/ssrn.3139180openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.315243openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.330180openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.342581openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.361022openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.404120openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.464843openalex-extracted

Investor Sentiment and the Cross-Section of Stock Returns

inferredcites →https://doi.org/10.2139/ssrn.476741openalex-extracted

The Extreme Future Stock Returns Following Extreme Earnings Surprises

inferredcites →https://doi.org/10.2139/ssrn.502843openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.555968openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.571046openalex-extracted

Payout Policy in the 21st Century

inferredcites →https://doi.org/10.2139/ssrn.571065openalex-extracted

inferredcites →https://doi.org/10.2139/ssrn.600721openalex-extracted

Strength of Analyst Coverage Following Ipos

inferredcites →https://doi.org/10.2139/ssrn.605001openalex-extracted

Consumer Confidence and Asset Prices: Some Empirical Evidence

inferredcites →https://doi.org/10.2139/ssrn.677103openalex-extracted

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In Search of Distress Risk

inferredcites →https://doi.org/10.2139/ssrn.899902openalex-extracted

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A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

inferredcites →https://doi.org/10.2307/2328687openalex-extracted

The Long-Run Performance of Initial Public Offerings

inferredcites →https://doi.org/10.2307/2329112openalex-extracted

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inferredcites →https://doi.org/10.2307/2329556openalex-extracted

inferredcites →https://doi.org/10.2307/2329566openalex-extracted

The Delisting Bias in CRSP Data

inferredcites →https://doi.org/10.2307/2490232openalex-extracted

An Empirical Evaluation of Accounting Income Numbers

inferredcites →https://doi.org/10.2307/2490395openalex-extracted

Financial Ratios and the Probabilistic Prediction of Bankruptcy

inferredcites →https://doi.org/10.2307/2491062openalex-extracted

Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?

inferredcites →https://doi.org/10.2307/2491460openalex-extracted

Self-Selection and Analyst Coverage

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Costly Arbitrage: Evidence from Closed-End Funds

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Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle

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Contrarian Investment, Extrapolation, and Risk

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Market Underreaction to Open Market Share Repurchases

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A Model of Investor Sentiment

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Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies

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Do investors overvalue firms with bloated balance sheets?

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Delisting returns and their effect on accounting-based market anomalies

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When Does Investor Sentiment Predict Stock Returns?

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Earnings and price momentum

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Dispersion in analysts’ earnings forecasts and credit rating

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The good news in short interest

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Can book-to-market, size and momentum be risk factors that predict economic growth?

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Trading activity and expected stock returns

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The illusory nature of momentum profits

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Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects

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Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies

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Market Timing and Capital Structure

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Aggregate Earnings and Asset Prices

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The New Issues Puzzle

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On Persistence in Mutual Fund Performance

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Analyst Coverage and Financing Decisions

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Liquidity and Autocorrelations in Individual Stock Returns

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Retail Investor Sentiment and Return Comovements

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Momentum and Credit Rating

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Asset Growth and the Cross‐Section of Stock Returns

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Is Sentiment Risk Priced By Stock Market?

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The Cross-Section of Volatility and Expected Returns

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.1057/978-1-137-59191-3_1openalex-snapshot

Introduction

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