Expectile CAPM
© 2019 Elsevier B.V. Conventional wisdom suggests that the uncertainty of uninformed noise-traders’ sentiment deters rational traders’ arbitrage activities. However, nowadays, social media have made the public sentiment highly predictable, whereas the CAPM-motivated beta-return relation still does n...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
2019
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| Online Access: | http://hdl.handle.net/20.500.11937/76965 |