Investor Sentiment In Asset Pricing Models

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Investor Sentiment In Asset Pricing Models

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Author : Szymon Lis
language : en
Publisher:
Release Date : 2022

Investor Sentiment In Asset Pricing Models written by Szymon Lis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.

Investor Sentiment As Conditioning Information In Asset Pricing

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Author : Jerry C. Ho
language : en
Publisher:
Release Date : 2011

Investor Sentiment As Conditioning Information In Asset Pricing written by Jerry C. Ho and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.

This paper assesses whether incorporating investor sentiment as conditioning information in asset pricing models helps capture the impacts of the size, value, liquidity and momentum effects on risk-adjusted returns of individual stocks. We use survey sentiment measures and a composite index as proxies for investor sentiment. In our conditional framework, the size effect becomes less important in the conditional CAPM and is no longer significant in all the other models examined. Furthermore, the conditional models often capture the value, liquidity and momentum effects.

The Role Of Investor Sentiment In Asset Pricing

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Author : Chien-Wei Ho
language : en
Publisher:
Release Date : 2012

The Role Of Investor Sentiment In Asset Pricing written by Chien-Wei Ho and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Stockholders categories.

This thesis investigates various roles that investor sentiment may play in asset pricing. The empirical analysis consists of three main parts based on the role of investor sentiment in the stock markets. The first part discusses the role of investor sentiment as conditioning information. It aims to examine its ability to explain the dynamic nature of the expected returns for individual stocks and its explanatory power capture the financial market anomalies such as the size, value, liquidity, and effects. The second part focuses on the role of investor sentiment as a risk factor. The purpose is to construct a risk factor on the basis of investor sentiment and test whether this proposed sentiment factor is priced and helps to explain the aforementioned financial market anomalies. The third part explores the role of investor sentiment in different international stock markets. It attempts to assess the extent to which investor sentiment affects the stock market volatility and returns of different regions. The results suggest that investor sentiment exhibits explanatory power for cross section of stock returns in the U.S. market. Acting as conditioning information or a risk factor, investor sentiment can generally capture the size and value effects. Furthermore, it can also capture the momentum effect under certain model specifications. The thesis shows that investors require compensation for bearing noise traders; in other words, investor sentiment is a priced factor. At the market level, the impacts of investor sentiment on stock volatility and returns vary across countries. For some countries investor sentiment affects both volatility and returns while for the others investor sentiment has less influence on stock price behaviour. Overall, the findings of the thesis provide empirical evidence that overlooking the role of investor sentiment in classical finance theory could lead to an imperfect picture of describing the stock price behaviour.

Investor Sentiment And Long Run Underperformance Of New Issues

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Author : Brian Zingale
language : en
Publisher:
Release Date : 2005

Investor Sentiment And Long Run Underperformance Of New Issues written by Brian Zingale and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Capital assets pricing model categories.

The Role Of Market Sentiment In Asset Allocations And Stock Returns

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Author : Jitka Hilliard
language : en
Publisher:
Release Date : 2019

The Role Of Market Sentiment In Asset Allocations And Stock Returns written by Jitka Hilliard and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.

We investigate the role of mutual fund flows in incorporating market sentiment into asset prices. We show that retail investors adjust their investments among mutual fund categories in response to changes in market sentiment. Consistent with sentiment-induced price pressure through fund flows, we further find that firms favored by mutual funds, such as large-cap, dividend payers, and firms with high institutional ownership are sensitive to market sentiment. We construct a pricing factor representing sentiment risk and find that the sentiment factor is significant in standard asset pricing models and robust to various sorting procedures.

Investor Sentiment And Asset Pricing

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Author : Sze Nie Ung
language : en
Publisher:
Release Date : 2020

Investor Sentiment And Asset Pricing written by Sze Nie Ung and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.

Behavioral Finance And Asset Prices

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Author : David Bourghelle
language : en
Publisher: Springer Nature
Release Date : 2023-04-05

Behavioral Finance And Asset Prices written by David Bourghelle and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-04-05 with Business & Economics categories.

In recent decades, the financial markets have experienced various crises, shocks and disruptive events, driving high levels of volatility. This volatility is too strong to be fully justified simply by changes in fundamentals. This volume discusses these highly relevant issues with special focus on asset pricing and behavioral finance. Financial price assets of the 2020s appear to be driven by various attractors in addition to fundamentals, and there is no doubt that investor emotions, market sentiment, the news, and external factors such as uncertainty all play a key role. This has been clearly observed in recent years, especially during the ongoing coronavirus pandemic that has changed the common perception of the way financial markets work.

Asset Management

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Author : Stephen Satchell
language : en
Publisher: Springer
Release Date : 2016-09-20

Asset Management written by Stephen Satchell and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-09-20 with Business & Economics categories.

This book presents a series of contributions on key issues in the decision-making behind the management of financial assets. It provides insight into topics such as quantitative and traditional portfolio construction, performance clustering and incentives in the UK pension fund industry, pension fund governance, indexation, and tracking errors. Markets covered include major European markets, equities, and emerging markets of South-East and Central Asia.

Sentiment Measures And Asset Pricing

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Author : Luigi Croce
language : en
Publisher:
Release Date : 2019

Sentiment Measures And Asset Pricing written by Luigi Croce and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.

This thesis builds on the results of empirical behavioral finance research to shed light on the concept of market sentiment, and to identify and analyze the proxies best suited to capture its effect on asset prices. Market sentiment refers to an irrational behavior of investors, whose causes are divided by behavioral finance literature into two broad categories: biases in expectations' formation and risk preferences not in line with the maxims of expected utility theory. Each proxy of market sentiment is then analyzed considering its ability to capture these two facets of investors' deviations from rationality. No uncontroversial proxy of market sentiment exists; however, it appears that certain classes of proxies are better suited to capture investors' biases in expectations' formation and other better capture changing levels of investors' risk attitude. This master thesis then builds on the conclusions of its initial analysis to investigate whether sentiment could ameliorate the performance of asset pricing models. Traditional asset pricing models, such as the Charart four-factors model, are founded on the idea that asset returns depend on fundamental asset characteristics and should account for observed repeated mispricing in asset markets. Sentiment, interpreted as investors' biases in expectations' formation and measured through the news'-based Ravenpack index, can be interpreted as a repeated mispricing and tested as an additional risk factor to a Charart four-factor model. Alternatively, sentiment, considered as changing levels of investors' risk attitude and measured either by the Baker-Wurgler Index or by the University of Michigan Consumer Sentiment Index, can influence factors' risk premia and is tested as an explanatory variable of risk-premia time-series. Results show that sentiment retains explanatory power as an additional risk factor during the 2000 to 2009 period in the US stock market, and that it provides sign.

A Behavioral Approach To Asset Pricing

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Author : Hersh Shefrin
language : en
Publisher: Elsevier
Release Date : 2008-05-19

A Behavioral Approach To Asset Pricing written by Hersh Shefrin and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-05-19 with Business & Economics categories.

Behavioral finance is the study of how psychology affects financial decision making and financial markets. It is increasingly becoming the common way of understanding investor behavior and stock market activity. Incorporating the latest research and theory, Shefrin offers both a strong theory and efficient empirical tools that address derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio. The book provides a series of examples to illustrate the theory. The second edition continues the tradition of the first edition by being the one and only book to focus completely on how behavioral finance principles affect asset pricing, now with its theory deepened and enriched by a plethora of research since the first edition