Stock market volatility, excess returns, and the role of investor sentiment

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High Technology ETF Forecasting: Application of Grey Relational Analysis and Artificial Neural Networks (2013, background): “As established by Nobanee (2007), the high volatility inherent in high technology firms is further explained Lee et al. (2002), who indicate that sentiment and volatility (i.e., DJIA, S&P 500, and NASDAQ) have a negative relationship in equity markets.”
Social Media Sentiment in International Stock Returns and Trading Activity (2020, background): “Research on behavioral finance and economics claims that irrational investors affect asset prices (Lee, Shleifer, and Thaler 1991; Lee, Jiang, and Indro 2002; Baker and Wurgler 2007; Ho and Hung 2009).”
The importance of fear: investor sentiment and stock market returns (2017, neutral): “Lee, Jiang, and Indro (2002) utilize the investors’ intelligence sentiment survey as a direct measure, and report that sentiment is a priced systematic risk.”
Divergence of Sentiment and Stock Market Trading (2017, positive): “Relatedly, Chang et al. (2008) find that cloudy weather is related to high transaction volumes, Brown (1999) and Lee et al. (2002) find that unusually high levels of sentiment are associated with high volatility, and Coval and Shumway (2005) report that traders with losses in the morning tend to…”