ABSTRACT

This paper examines the implications of short-sale constraints, limits to arbitrage, and behavioral biases on the FEARS sentiment and stock returns asymmetric relationship. Our results indicate a strong negative relationship between FEARS sentiment and stock return. Our findings show that short-sell and arbitrage constraint attenuates the potential impact of sentiment on return behavior. We find that the FEARS sentiment influences behavioral biases and the trading activity of market participants.

中文翻译：

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恐惧情绪对股票收益的不对称影响：卖空限制、套利限制和行为偏差

摘要

本文研究了卖空限制、套利限制和行为偏差对 FEARS 情绪和股票收益不对称关系的影响。我们的结果表明恐惧情绪与股票回报之间存在很强的负相关关系。我们的研究结果表明，卖空和套利约束减弱了情绪对回报行为的潜在影响。我们发现恐惧情绪会影响市场参与者的行为偏见和交易活动。