Investor Sentiment and the Cross-Section of Stock Returns

in rational, market-wide risk premia or time variation in the cross-sectional pattern of risk, that is, beta loadings. Further tests cast doubt on these hy-potheses. We test the second possibility directly and find no link between the patterns in predictability and patterns in betas with market returns or con-sumption growth.

  Cross, Sectional, Sentiment, Predictability, Sentiment and the cross