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• W3125530657 abstract "We apply Marginal Conditional Stochastic Dominance (MCSD) tests to returns on sentiment-beta sorted portfolios and sentimentarbitrage portfolios, constructed using the Baker and Wurgler (2007) index of sentiment levels. The theory of MCSD demonstrates that, if one (mutually exclusive) subset of a core portfolio dominates another, conditional on the return distribution of the core portfolio, then the core portfolio is inefficient for all utility-maximizing risk-averse investors. Based on returns on the U.S. equity market, we show that both positively and negatively sentiment sensitive stocks are conditionally and stochastically dominated by sentiment insensitive stocks. Moreover, we find dominance among sentiment-arbitrage portfolios, constructed with positively sensitive vs. insensitive, insensitive vs. negatively sensitive, and positively vs. negatively sensitive stocks. Therefore, we conclude that the market portfolio is stochastically inefficient." @default.
• W3125530657 created "2021-02-01" @default.
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• W3125530657 date "2014-08-25" @default.
• W3125530657 modified "2023-09-27" @default.
• W3125530657 title "Sentiment Effect and Market Portfolio Inefficiency" @default.
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