This research project studies the pricing and liquidity implications of sentiment and disagreement as origins of radical uncertainty in financial markets.
Through a unified theoretical framework, this project explores how sentiment and disagreement affect the trading behaviors of market participants and hence asset prices and liquidity. Second, this project uses various data sources to investigate the model-generated empirical predictions on how disagreement-sentiment dynamics can explain certain patterns in stock return predictability and liquidity in the cross section and in the time series.