01069nas a2200157   4500008004100000245008700041210006900128260000900197300001400206490000700220520051000227653001200737100001700749700002100766856012400787       2012                        eng d00aCross-sectional performance and investor sentiment in a multiple risk factor model0 aCrosssectional performance and investor sentiment in a multiple   c2012  a1107-11210 v363 aThe 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.10aFinance1 aBerger, Dave1 aTurtle, Harry, J  u/biblio/cross-sectional-performance-and-investor-sentiment-multiple-risk-factor-model-0