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Investor Sentiment, Profitable Trading Strategies, and Short Sale Constraints

https://doi.org/10.2139/ssrn.2575694
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Outgoing claims: the papers this work cites, builds on, or argues with.

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The relationship between return and market value of common stocks
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Misspecification of capital asset pricing
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Asset pricing and the bid-ask spread
inferredcites →https://doi.org/10.1016/j.jfineco.2004.08.008openalex-extracted
Short sales, institutional investors and the cross-section of stock returns
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.2010.06.001openalex-extracted
Does q-theory with investment frictions explain anomalies in the cross section of returns?
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.2010.10.011openalex-extracted
Investor sentiment and the mean–variance relation☆
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.2011.05.012openalex-extracted
Institutional investors and the limits of arbitrage
inferredcites →https://doi.org/10.1016/s0165-4101(98)00026-3openalex-extracted
Accounting valuation, market expectation, and cross-sectional stock returns
inferredcites →https://doi.org/10.1017/s0022109000002143openalex-extracted
Short-Sale Constraints, Differences of Opinion, and Overvaluation
inferredcites →https://doi.org/10.1086/261703openalex-extracted
Noise Trader Risk in Financial Markets
inferredcites →https://doi.org/10.1093/rfs/hhm051openalex-extracted
Interpreting the Value Effect Through the Q-Theory: An Empirical Investigation
inferredcites →https://doi.org/10.1111/j.1468-5957.2006.00616.xopenalex-extracted
Short Sales Constraints and Momentum in Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1977.tb03317.xopenalex-extracted
RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION
inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb03746.xopenalex-extracted
Investor Sentiment and the Closed‐End Fund Puzzle
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.1540-6261.2009.01469.xopenalex-extracted
Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data
inferredcites →https://doi.org/10.1146/annurev-financial-073009-104107openalex-extracted
Limits of Arbitrage
inferredcites →https://doi.org/10.1287/mnsc.1110.1356openalex-extracted
Investor Sentiment and Analysts' Earnings Forecast Errors
inferredcites →https://doi.org/10.2139/ssrn.1102082openalex-extracted
Institutional Investors, Intangible Information and the Book-to-Market Effect
inferredcites →https://doi.org/10.2139/ssrn.1297353openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.1449929openalex-extracted
Global, Local, and Contagious Investor Sentiment
inferredcites →https://doi.org/10.2139/ssrn.1982112openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.2029057openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.2089466openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.263981openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.266180openalex-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.3139180openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.366300openalex-extracted
Asset Pricing with Liquidity Risk
inferredcites →https://doi.org/10.2139/ssrn.404120openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.424480openalex-extracted
Liquidity and Expected Returns: Lessons from Emerging Markets
inferredcites →https://doi.org/10.2139/ssrn.428160openalex-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.502843openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.525623openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.642045openalex-extracted
Earnings Announcement Premia and the Limits to Arbitrage
inferredcites →https://doi.org/10.2139/ssrn.685145openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.760967openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.770805openalex-extracted
In Search of Distress Risk
inferredcites →https://doi.org/10.2139/ssrn.794264openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.93660openalex-extracted
Institutional Investors and Equity Prices
inferredcites →https://doi.org/10.2139/ssrn.972758openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.998244openalex-extracted
Caught on Tape: Institutional Trading, Stock Returns, and Earnings Announcements
inferredcites →https://doi.org/10.2307/1912934openalex-extracted
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/10.2307/2329238openalex-extracted
inferredcites →https://doi.org/10.2307/2490395openalex-extracted
Financial Ratios and the Probabilistic Prediction of Bankruptcy
inferredcites →https://doi.org/10.3386/w4360openalex-extracted
Contrarian Investment, Extrapolation, and Risk
inferredcites →https://doi.org/10.1016/j.jacceco.2004.10.002openalex-snapshot
Do investors overvalue firms with bloated balance sheets?
inferredcites →https://doi.org/10.1016/j.jacceco.2014.06.001openalex-snapshot
Have capital market anomalies attenuated in the recent era of high liquidity and trading activity?
inferredcites →https://doi.org/10.1016/j.jfineco.2005.01.001openalex-snapshot
Short interest, institutional ownership, and stock returns
inferredcites →https://doi.org/10.1016/j.jfineco.2005.04.005openalex-snapshot
Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk
inferredcites →https://doi.org/10.1016/j.jfineco.2007.03.005openalex-snapshot
Liquidity and Market Efficiency
inferredcites →https://doi.org/10.1016/j.jfineco.2010.05.001openalex-snapshot
Liquidity risk and the cross-section of hedge-fund returns☆
inferredcites →https://doi.org/10.1016/j.jfineco.2012.11.005openalex-snapshot
The role of shorting, firm size, and time on market anomalies
inferredcites →https://doi.org/10.1017/s0022109010000293openalex-snapshot
Arbitrage Risk and Stock Mispricing
inferredcites →https://doi.org/10.1093/rfs/hhaa080openalex-snapshot
Illiquidity and Stock Returns II: Cross-Section and Time-Series Effects
inferredcites →https://doi.org/10.1111/1475-679x.00001openalex-snapshot
Analyst Coverage and Intangible Assets
inferredcites →https://doi.org/10.1111/1540-6261.00593openalex-snapshot
An Empirical Analysis of Analysts' Target Prices: Short‐term Informativeness and Long‐term Dynamics
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The New Issues Puzzle
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.01063.xopenalex-snapshot
Retail Investor Sentiment and Return Comovements
inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01232.xopenalex-snapshot
Giving Content to Investor Sentiment: The Role of Media in the Stock Market
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01370.xopenalex-snapshot
Asset Growth and the Cross‐Section of Stock Returns
inferredcites →https://doi.org/10.2307/2946710openalex-snapshot
Costly Arbitrage: Evidence from Closed-End Funds
inferredcites →https://doi.org/10.2469/faj.v65.n4.3openalex-snapshot
Liquidity and the Post-Earnings-Announcement Drift
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