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July 3, 2007
Research Watch: Investor Sentiment, Liquidity, and Stock Shocks
As most readers will have gleaned by now, I keep a fairly close watch on the finance research literature. I often highlight interesting pieces, but there are often others worth scanning that I don't link to. Beginning today, I'll start highlighting some of those, and this edition mostly comes from the latest crop of papers at NBER:- Exchange rate anomalies in the forward discount of currencies (Bacchetta/Wincoop)
- The overall effect of unexpected financial shocks is highly dependent on return rates (Guerrieri/Lorenzoni)
- Younger, unprofitable, and non-dividend-paying stocks -- in other words, tech stocks -- are more likely to be sensitive to waves of investor sentiment (Baker/Wurgler)
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