HIGHLIGHTS
SUMMARY
Using predictive analysis, the authors showed that investor sentiment explains anomalies such as size and investments in the the authors stock market. One decade later, Fama and French detected a correlation between book-to-market ratio and stock returns in the the authors stock market, known as the book-to-market anomaly. Rt - rft=α + β (Rm - rf)t + s(SMB)t + h(HML)t + δ ∆ (S)t + ε, where Ri is return of the anomaly strategy, rf is risk-free rate, Rm - rf is the difference between rf and return of value-weighted market portfolio, SMB is . . .
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