Investor Sentiment, Limited Arbitrage, and the Cash Holding Effect
(2016)
Journal Article
Li, X., & Luo, D. Investor Sentiment, Limited Arbitrage, and the Cash Holding Effect. Review of Finance, rfw031. https://doi.org/10.1093/rof/rfw031
We examine the investor sentiment and limits-to-arbitrage explanations for the positive cross-sectional relation between cash holdings and future stock returns. Consistent with the investor sentiment hypothesis, we find that the cash holding effect i... Read More about Investor Sentiment, Limited Arbitrage, and the Cash Holding Effect.