The Role Of Investor Sentiment In Asset Pricing
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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.
The Role Of Investor Sentiment In Private Property Markets
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Author : Isabel Nina Russ
language : en
Publisher:
Release Date : 2016
The Role Of Investor Sentiment In Private Property Markets written by Isabel Nina Russ and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
The onset of the behavioral finance theory has led to the study of a potential impact of investor sentiment in asset pricing. This thesis adds to the literature that investigates this topic within private real estate markets, as these are more likely to be characterized by such inefficiencies. Its contribution to the existing literature is to not only examine the bi-directional relations between sentiment and returns in the residential and the commercial real estate market, but to also take into account possible cross-directional effects between them. Investor sentiment measures are constructed on the basis of a Principal Component Analysis of established sentiment proxies. Vector Autoregressive models are then employed to determine dynamic relations between the variables. Subsequently, the thesis uses Granger Causality tests, Impulse Response Functions and Forecast Error Variance Decomposition to quantify these relations. The results show only a weak causal link between sentiment and future returns, followed by a reversal to fundamental value in the longer term. Consistent with previous literature, irrational sentiment is found to be driven by previous returns, especially in the residential property market. Unique to this paper is the finding that both sentiment and returns in the residential real estate market can be partly explained by the commercial real estate market. Moreover, investors in the commercial real estate market are negatively influenced by changes in investor sentiment on the public stock market. In summary, this paper therefore finds evidence for a component of irrationality within real estate market pricing.
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.
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.
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 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.
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.
Investor Sentiment And Asset Pricing
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Author : Lawrence Olorungbohunmi
language : en
Publisher:
Release Date : 2019
Investor Sentiment And Asset Pricing written by Lawrence Olorungbohunmi 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 paper provides insight view of an investor mind dueling on proving the fact that a series of event in a company could cause a dramatic move on to practitioners who wish to forecast market returns based on event occurrences.Using 12 years (2006 to 2018) historical data of Foxconn Company covering all the death occurrences in the company over the past years to predict it impacts on the company stock, data's are collected from yahoo finance. This study used an event study and Dummy variables methodology to test whether or not sentiment impacted market returns.
Media Sentiment And International Asset Prices
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Author : Samuel P. Fraiberger
language : en
Publisher: International Monetary Fund
Release Date : 2018-12-10
Media Sentiment And International Asset Prices written by Samuel P. Fraiberger and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-12-10 with Business & Economics categories.
We assess the impact of media sentiment on international equity prices using more than 4.5 million Reuters articles published across the globe between 1991 and 2015. News sentiment robustly predicts daily returns in both advanced and emerging markets, even after controlling for known determinants of stock prices. But not all news-sentiment is alike. A local (country-specific) increase in news optimism (pessimism) predicts a small and transitory increase (decrease) in local returns. By contrast, changes in global news sentiment have a larger impact on equity returns around the world, which does not reverse in the short run. We also find evidence that news sentiment affects mainly foreign – rather than local – investors: although local news optimism attracts international equity flows for a few days, global news optimism generates a permanent foreign equity inflow. Our results confirm the value of media content in capturing investor sentiment.
Individual Investors Sentiments And Asset Pricing
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Author : Abhijeet Chandra
language : en
Publisher:
Release Date : 2012
Individual Investors Sentiments And Asset Pricing written by Abhijeet Chandra and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
Individuals often invest in securities based on approximate rule of thumb, not strictly in tune with market conditions. Their emotions drive their trading behaviour, which in turn drives asset (stock) prices. Investors fall prey to their own mistakes and sometimes others' mistakes, referred to as herd behaviour. Markets are efficient, increasingly proving a theoretical concept as in practice they hardly move efficiently. The purely rational approach is being subsumed by a broader approach based upon the trading sentiments of investors. In this approach, security expected returns are determined by both risk and misvaluation. These are some of the issues of greater relevance to the capital market. The present paper documents the role of emotional biases towards investment (or disinvestment) decisions of individuals, which in turn force stock prices to move. The authors used a questionnaire to judge the impact of emotions on their investment related decisions and conclude that the majority of individual investors often ignore fundamentals of investments and go by their prejudice about the worth of the security in question.