| Popis: |
Empirical indicators of sentiment are commonly employed in the economic literature while a precise understanding of what is sentiment is still missing. Exploring the links among the most popular proxies of sentiment, fear and uncertainty this paper aims to fill this gap. We show how fear and sentiment are specular in their predictive power in relation to the aggregate market and to cross-sectional returns. Finally, we document how sentiment and fear time cross-sectional returns: conditionally on a today's high (low) level of fear we observe a next month high (low) return per unit of risk. The opposite holds for sentiment. |
