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Cited by 1,736

The DOI matches its Crossref record; 59 of the 59 references it cites were found in a registry or an index.

The short of it: Investor sentiment and anomalies

Open access
Stambaugh, Robert F., Yu, Jianfeng, Yuan, Yu·2012·Journal of Financial Economics
DOI 10.1016/j.jfineco.2011.12.001
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Abstract

This study explores the role of investor sentiment in a broad set of anomalies in cross-sectional stock returns. We consider a setting where the presence of market-wide sentiment is combined with the argument that overpricing should be more prevalent than underpricing, due to short-sale impediments. Long-short strategies that exploit the anomalies exhibit profits consistent with this setting. First, each anomaly is stronger—its long-short strategy is more profitable—following high levels of sentiment. Second, the short leg of each strategy is more profitable following high sentiment. Finally, sentiment exhibits no relation to returns on the long legs of the strategies.

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Metadata

Authors
Stambaugh, R. F., Yu, J., & Yuan, Y.
Venue
Journal of Financial Economics
Publisher
Elsevier BV
Published
2012-05
Volume
104
Issue
2
Pages
288-302
ISSN
0304-405X (ISSN-L)
DOI
10.1016/j.jfineco.2011.12.001
OpenAlex
W2196996750
Cited by
1,736
References
59
FWCI
67.05
Type
journal article
Language
en
Open access
green

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CoChat. (2026). Citation check: The short of it: Investor sentiment and anomalies. https://app.cochat.ai/papers/10.1016/j.jfineco.2011.12.001
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Stambaugh, R. F., Yu, J., & Yuan, Y. (2012). The short of it: Investor sentiment and anomalies. Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2011.12.001

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.