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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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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.
References
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Journal ArticleDOI

Yield Spreads as Alternative Risk Factors for Size and Book-to-Market

Jaehoon Hahn, +1 more
- 01 Jun 2006 - 
TL;DR: In this paper, the authors investigated whether the size and book-to-market factors of Fama and French (1993) proxy for the risks associated with business cycle fluctuations, and they found that changes in default spread and changes in term spread capture the systematic differ ences in average returns along the size of the portfolio.
Journal ArticleDOI

What is the Intrinsic Value of the Dow

Charles M.C. Lee, +2 more
- 17 Jan 1997 - 
TL;DR: In this article, the authors use a residual income valuation model to compute a measure of the intrinsic value for the 30 stocks in the DJIA and find that superior empirical estimates of value will not only track price more closely, but also be better predictors of subsequent returns.
Journal ArticleDOI

Unobserved heterogeneity in panel time series models

Jerry Coakley, +2 more
- 01 May 2006 - 
TL;DR: A range of estimators are surveyed and a mean group version of the common-correlated-effects estimator stands out as the most robust since it is the preferred choice in rather general (non) stationary settings where regressors and errors share common factors and their factor loadings are possibly dependent.
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.
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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.