Cognitive Dissonance, Sentiment, and Momentum

By Constantinos Antoniou, John A. Doukas, Avanidhar Subrahmanyam. Journal of Financial and Quantitative Analysis, 2012

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Investor mood, herding and the Ramadan effect (2016, background): “5 The effect of sentiment has been depicted to date with regards to several behavioral patterns, including feedback trading (Chau et al., 2011) and momentum (Antoniou et al, 2013).”
Sentiment Metrics and Investor Demand (2019, background): “…2 Examples of asset pricing phenomena that have been examined with the BW metric include the value premium (Piotroski and So (2012)), momentum (Antoniou, Doukas, and Subrahmanyam (2013)), the idiosyncratic volatility puzzle…”
Does investor sentiment really matter (2016, background): “, 2005) and are considered a reliable barometer of sentiment in the aggregate market (Fisher and Statman, 2003; Antoniou et al., 2013).”
Can economic policy uncertainty and investors sentiment predict commodities returns and volatility (2017, background): “The momentum profits arise only under investor optimism (Antoniou et al. 2013) and subsequent returns change relative to the investor sentiments (Baker and Wurgler, 2006).”
The Long of It: Odds That Investor Sentiment Spuriously Predicts Anomaly Returns (2014, unknown): “…of sentiment measures to predict returns include Brown and Cliff (2004, 2005), Lemmon and Portniaguina (2006), Baker and Wurgler (2007, 2012), Livnat and Petrovic (2008), Baker, Wurgler, and Yuan (2012), Antoniou, Doukas, and Subrahmanyam (2013), Stambaugh, Yu, and Yuan (2013), and Yu (2013).”