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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
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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 - 
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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

Expectations management and beatable targets: how do analysts react to explicit earnings guidance?

Julie Cotter, +2 more
- 01 Sep 2006 - 
TL;DR: The authors investigated security analysts' reactions to public management guidance and assesses whether managers successfully guide analysts toward beatable earnings targets using a panel dataset between 1995 and 2001 to examine the fiscal-quarter-specific determinants of management guidance.
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Comparing the Accuracy and Explainability of Dividend, Free Cash Flow and Abnormal Earnings Equity Valuation Models

Jennifer Francis, +2 more
- 21 Jan 2000 - 
TL;DR: In this paper, the reliability of value estimates from the discounted dividend model, the discounted free cash flow model and the discounted abnormal earnings model was compared using a large sample of Val...
Journal ArticleDOI

All the News That's Fit to Reprint: Do Investors React to Stale Information?

Paul C. Tetlock
- 01 Sep 2010 - 
TL;DR: In this article, the authors test whether stock market investors appropriately distinguish new and old information about firms and find that firms' stock returns are less responsive to stale news than individual investors overreact to stale information.
Journal ArticleDOI

Size, Seasonality, and Stock Market Overreaction

Paul Zarowin
- 01 Mar 1990 - 
TL;DR: This article showed that the tendency for losers to outperform winners is not due to investor overreaction, but to the tendency of losers to be smaller-sized firms than winners, and in periods when winners are smaller than losers, winners outperform losers.
ReportDOI

Valuation Ratios and the Long-Run Stock Market Outlook: An Update

John Y. Campbell, +4 more
- 01 Apr 2001 - 
TL;DR: The use of price earnings ratios and dividend-price ratios as forecasting variables for the stock market is examined using aggregate annual US data 1871 to 2000 and aggregate quarterly data for twelve countries since 1970.
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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.