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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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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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A Model of Investor Sentiment

Nicholas Barberis, +5 more
- 01 Feb 1997 - 
TL;DR: The authors presented a parsimonious model of investor sentiment that is, of how investors form beliefs that is consistent with the empirical findings of underreaction and overreaction of stock prices to news.
Journal ArticleDOI

Financial statement analysis and the prediction of stock returns

Jane A. Ou, +1 more
- 01 Nov 1989 - 
TL;DR: In this paper, the authors performed a financial statement analysis that combines a large set of financial statement items into one summary measure which indicates the direction of one-year-ahead earnings changes.
Journal ArticleDOI

Investor Sentiment and the Near-Term Stock Market

Michael T. Cliff, +1 more
- 06 Sep 2001 - 
TL;DR: In this article, the authors investigate investor sentiment and its relation to near-term stock market returns and find that many commonly-cited indirect measures of sentiment are related to direct measures of investor sentiment.
Journal ArticleDOI

Overconfidence, Arbitrage, and Equilibrium Asset Pricing

Kent Daniel, +2 more
- 01 Jun 2001 - 
TL;DR: In this article, the authors propose a model in which asset prices are correlated with covariance risk and misperceptions of firms' prospects, and arbitrageurs trade against mispricing.
Journal ArticleDOI

Financial Investment Opportunities and the Macroeconomy

Nai-fu Chen
- 01 Jun 1991 - 
TL;DR: In this paper, the relation between changes in financial investment opportunities and changes in the macroeconomy was studied and it was shown that the market excess return is negatively correlated with recent economic growth and positively correlated with expected future economic growth.
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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.