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Open AccessJournal ArticleDOI

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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Journal ArticleDOI

Macroeconomic Factors Do Influence Aggregate Stock Returns

Frank T. Magiera
- 01 Nov 2002 - 
Posted Content

Macroeconomic Risks and Characteristic-Based Factor Models

Kevin Aretz, +2 more
- 01 Jan 2010 - 
TL;DR: This article showed that book-to-market, size, and momentum capture cross-sectional variation in exposures to a broad set of macroeconomic factors identified in the prior literature as potentially important for pricing equities.
Journal ArticleDOI

Do Behavioral Biases Affect Prices

Chenchuramaiah T. Bathala
- 01 Nov 2005 - 
Journal ArticleDOI

Investor sentiment effects on share price deviations from their intrinsic values based on accounting fundamentals

Yiannis Karavias, +2 more
- 01 May 2021 - 
TL;DR: In this paper, the authors investigated the effect of investor sentiment on share price deviations from their intrinsic values across two sentiment regimes of shares market: the low-to-normal and the excess one.
Posted Content

Behavioural Asset Pricing Determinants in a Factor and Style Investing Framework

Jasman Tuyon, +1 more
TL;DR: In this paper, a quasi-rational multifactor asset pricing determinants model with fundamental and behavioural risk factors is introduced, and the risk and return analysis is performed in a factors and style investing framework.
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Journal ArticleDOI

Do Behavioral Biases Affect Prices

Chenchuramaiah T. Bathala
- 01 Nov 2005 - 
Book ChapterDOI

The behaviour of sentiment-induced share returns: Measurement when fundamentals are observable

Richard A. Brealey, +2 more
- 01 Jan 2017 - 
TL;DR: This article test the effect of sentiment on returns using a sample of upstream oil stocks where they have a good proxy for fundamental value and find that sentiment affects returns on these stocks principally through their fundamentals rather than through deviations from fundamentals.
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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.