Sentiment‐scaled CAPM and market mispricing

This study explores the conditional version of capital asset pricing model on sentiment to provide a behavioural intuition behind value premium and market mispricing. We find betas (β) risk vary over time across different indices portfolios. More importantly, state β derived from this sentiment-scaled provides explanation set anomalies driven by Different static β–return relation that gives flat security line, we document upward lines when plotting portfolio returns against their βs portfolios with higher earn returns.