@article {1969121,
	title = {Cross-sectional performance and investor sentiment in a multiple risk factor model},
	journal = {Journal of Banking \& Finance},
	volume = {36},
	year = {2012},
	month = {2012},
	pages = {1107-1121},
	abstract = {The impact of investor sentiment on stock prices varies in the cross-section. We estimate sentiment sensitivities and find that sentiment-prone stocks exhibit the opaque characteristics hypothesized by Baker and Wurgler (2006). We then examine conditional alphas using investor sentiment as an information variable. Opaque stocks exhibit marginal performance that varies inversely with investor sentiment. Translucent stocks exhibit relatively little variability in performance across levels of sentiment.},
	keywords = {Finance},
	author = {Berger,Dave and Turtle,Harry J}
}
@article {1969126,
	title = {Emerging market crises and US equity market returns},
	journal = {Global Finance Journal},
	volume = {22},
	year = {2011},
	month = {2011},
	abstract = {We find contagion effects are present in US small size portfolios during emerging market crises due to risk and liquidity concerns. Investors display flight from risk during emerging market crises, and as a result, safer larger stocks exhibit positive abnormal returns. We find little evidence of contagion in aggregate excess US market returns, indicating studies that focus on national aggregates may miss important within market dynamics during emerging market crises. The international dynamics that we document have important implications for investors, even when they may have limited global exposure.},
	keywords = {Finance},
	author = {Berger,Dave and Turtle,Harry J}
}
@article {1969146,
	title = {Time variability in market risk aversion},
	journal = {Journal of Financial Research},
	volume = {32},
	year = {2009},
	month = {2009},
	pages = {285-307},
	abstract = {We adopt realized covariances to estimate the coefficient of risk aversion across portfolios and through time. Our approach yields second moments that are free from measurement error and not influenced by a specified model for expected returns. Supporting the permanent income hypothesis, we find risk aversion responds to consumption smoothing behavior. As income increases, or as the ratio of consumption-to-income falls, relative risk aversion decreases. We also document variation in risk aversion across portfolios: risk aversion is highest for small and value portfolios.},
	keywords = {Finance},
	url = {http://www.blackwellpublishing.com/journal.asp?ref=0270-2592},
	author = {Berger,Dave and Turtle,Harry J}
}
