Investor sentiment, risk factors and stock return: evidence from Indian non‐financial companies
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...…and Cliff, 2004), advance-decline ratio (ADR) (Finter et al., 2011), buy and sell imbalance ratio (Kumar and Lee, 2006), share turnover velocity (Mahakud and Dash, 2012), net cash flows to equity funds (Randall et al., 2003), institutional churn (Chae et al., 2008) and number of new stock…...
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...DivP is the log difference of the average market-to-book ratios of dividend payer and nonpayer stocks, CMF is the monthly percent change in margin finance position, and COI is the monthly percent COI from equity derivatives market....
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...ISA=0.459ADR+0.531TR−0.321DivP+0.459RIPO+0.215CMF+ 0.382COI (3) In this index, ISA is the macro adjusted IS....
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...ISt=ADRt+TRt−DivPt+RIPOt+CMFt+COIt (1) Literature argues that market sentiment partially shows a rationally developed economic reflection, the general economic indicators should rationally drive the sentiment up or down....
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...…2004; Finter et al., 2011), TR (June et al., 2003), dividend premium (DivP) (Baker and Wurgler, 2007), first day return on initial public offers (Baker and Wurgler, 2007), change in margin finance position (CMF) (Brown and Cliff, 2004; Mahakud and Dash, 2012) and the change in open interest (COI)....
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"Investor sentiment, risk factors an..." refers background in this paper
...(Kahneman and Tversky, 1979), and limited arbitrage in determining stock prices (Brown and Cliff, 2005; Shleifer and Vishny, 1997)....
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...In recent years, following the theoretical argument of multifactor model specification (Merton, 1973; Ross, 1976) and motivated with the characteristic based risk pricing, the three factor (Fama and French, 1993), and four factor model (Carhart, 1997) have been widely debated and acclaimed in asset pricing literature to explain the cross section of average stock returns....
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