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- W3122918100 abstract "Sentiment should exhibit its strongest effects on asset prices at times when valuations are most subjective. Accordingly, we show that a one-standard-deviation increase in aggregate uncertainty amplifies the predictive ability of sentiment for market returns by two to four times relative to when uncertainty is at its mean. For the cross-section of returns, the predictive ability of sentiment for assets expected to be most sensitive to sentiment, including existing measures of both risk and mispricing, is substantially larger in times of higher uncertainty. The results hold for both daily and monthly proxies for sentiment and for various proxies for uncertainty." @default.
- W3122918100 created "2021-02-01" @default.
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- W3122918100 date "2022-12-01" @default.
- W3122918100 modified "2023-10-18" @default.
- W3122918100 title "Sentiment and uncertainty" @default.
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- W3122918100 doi "https://doi.org/10.1016/j.jfineco.2022.05.005" @default.
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