Investment Opportunities using Emotions paper

This recent academic paper - Investment Opportunities Offered by Investor Emotions - (https://lnkd.in/gTg4F9qu) implements a practical portfolio construction strategy built on existing research that identify investor emotions as precipitative of post-earnings excess returns.

Even accounting for steep transaction costs, the authors demonstrate a long-short strategy yielding an 18% annualized return that has low or insignificant correlations to all FF5 factors using #Refinitiv #MarketPsych data.