NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

The Short of It: Investor Sentiment and Anomalies

Robert F. Stambaugh, Jianfeng Yu, Yu Yuan

NBER Working Paper No. 16898
Issued in March 2011

---- Acknowledgements -----

We are grateful for helpful comments from Wayne Ferson, Murray Frank, Paul Irvine, Robert Novy-Marx, Stavros Panageas, Lubos Pastor, Jinghua Yan, seminar participants at the University of Minnesota, Shanghai Advanced Institute of Finance (SAIF), and Fudan University, and participants at the 2010 Conference on Financial Economics and Accounting. We also thank Edmund Lee and Huijun Wang for excellent research assistance. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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