Expectile CAPM

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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...

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Bibliographic Details
Main Authors:	Hu, Wei, Zheng, Z.
Format:	Journal Article
Published:	2019
Online Access:	http://hdl.handle.net/20.500.11937/76965

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