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A comparison of investors’ sentiments and risk premium effects on valuing shares

Yiannis Karavias, +2 more
- 01 May 2016 - 
- Vol. 17, pp 1-6
TLDR
In this paper, the authors investigated the extent deviations between market share prices and their fundamental values can be explained by risk premium and/or investors' sentiment effects, based on recent panel data econometric techniques controlling for the effects of unobserved common factors on our estimation and inference procedures.
About: 
This article is published in Finance Research Letters.The article was published on 2016-05-01 and is currently open access. It has received 9 citations till now. The article focuses on the topics: Liquidity premium & Risk premium.

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Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model

Yiannis Karavias, +2 more
- 01 Apr 2018 - 
TL;DR: In this article, a stochastic expansion of the error variance covariance matrix estimator for the linear regression model under Gaussian AR(1) errors is derived and a Monte Carlo experiment compares tests based on the new estimator with others in the literature and shows that the new tests perform well.
Journal ArticleDOI

How does investor sentiment influence ipo initial return and long-term performance? an agent-based computational finance approach

Xiong Xiong, +3 more
- 29 Aug 2019 - 
TL;DR: In this paper, an agent-based computational finance platform that can reproduce the basic characteristics of China's initial public offering (IPO) market and explain its anomalies is proposed, and the results of the study are presented.
Journal ArticleDOI

Market share-prices versus their fundamental values: the case of the New York stock exchange

Stella N. Spilioti
- 04 Apr 2022 - 
TL;DR: In this article , a new version of the residual income valuation model using American data to calculate the fundamental value of a stock and then examine whether price deviations from their fundamental values are due to macroeconomic or psychological factors.
Journal ArticleDOI

A multidimensional Bayesian model to test the impact of investor sentiment on equity premium

Mehdi Mili, +3 more
- 24 Jan 2023 - 
References
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Journal ArticleDOI

Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations.

Manuel Arellano, +1 more
- 01 Apr 1991 - 
TL;DR: In this article, the generalized method of moments (GMM) estimator optimally exploits all the linear moment restrictions that follow from the assumption of no serial correlation in the errors, in an equation which contains individual effects, lagged dependent variables and no strictly exogenous variables.
Journal ArticleDOI

Common risk factors in the returns on stocks and bonds

Eugene F. Fama, +1 more
- 01 Feb 1993 - 
TL;DR: In this article, the authors identify five common risk factors in the returns on stocks and bonds, including three stock-market factors: an overall market factor and factors related to firm size and book-to-market equity.
Journal ArticleDOI

Does the Stock Market Overreact

Werner F. M. De Bondt, +1 more
- 01 Jul 1985 - 
TL;DR: In this article, a study of market efficiency investigates whether people tend to "overreact" to unexpected and dramatic news events and whether such behavior affects stock prices, based on CRSP monthly return data, is consistent with the overreaction hypothesis.
Journal ArticleDOI

Multifactor Explanations of Asset Pricing Anomalies

Eugene F. Fama, +1 more
- 01 Mar 1996 - 
TL;DR: In this article, the authors show that many of the CAPM average-return anomalies are related, and they are captured by the three-factor model in Fama and French (FF 1993).
Journal ArticleDOI

Economic Forces and the Stock Market

N F Jotjensen, +2 more
- 01 Jan 1986 - 
TL;DR: In this paper, the authors test whether innovations in macroeconomic variables are risks that are rewarded in the stock market, and they find that these sources of risk are significantly priced and neither the market portfolio nor aggregate consumption are priced separately.
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Q1. What are the contributions mentioned in the paper "University of birmingham a comparison of investors’' sentiments and risk premium effects on valuing shares" ?

This paper investigates at what extent deviations between market share prices and their fundamental values can be explained by risk premium and/or investors’sentiment e¤ects. To calculate the fundamental values of the shares, the paper relies on book value and yearly earnings forecasts of the listed companies, over period 1987-2012. The results of the paper indicate that share price deviations from their fundamental values can be explained by both risk premium and sentiment e¤ects. The authors would like to thank the editor Douglas Cumming and an anonymous referee for very constructive comments on the previous version of the paper.