Journal ArticleDOI
Investor sentiment, risk factors and stock return: evidence from Indian non‐financial companies
TLDR
This article employed the Fama and French time series regression approach to examine the impact of market risk premium, size, book-to-market equity, momentum and liquidity as risk factors on stock return.Abstract:
Purpose – The purpose of this paper is to evaluate the pricing implication of aggregate market wide investor sentiment risk for cross sectional return variation in the presence of other market wide risk factors.Design/methodology/approach – The paper employs the Fama and French time series regression approach to examine the impact of market risk premium, size, book‐to‐market equity, momentum and liquidity as risk factors on stock return. Given the importance of inherent imperfect rationality or sentiment risk, the paper further investigates the impact of investor sentiment on the cross section of stock return.Findings – The choice of a five factor model is apparently persuasive for consideration in investment decisions. Stocks are hard to value and difficult to arbitrage with characteristics which are significantly influenced with the sentiment risk. It is naive to argue for the universal pricing implication of sentiment risk in a multifactor model framework.Research limitations/implications – The test as...read more
Citations
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Journal ArticleDOI
Asymmetrical relationship between oil prices, gold prices, exchange rate, and stock prices during global financial crisis 2008: Evidence from Pakistan
TL;DR: In this paper, the authors investigated whether the relationship between macroeconomic fluctuations and stock indexes is symmetrical or asymmetrical in nature, and employed nonlinear autoregressive distraction.
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Investor sentiment and its role in asset pricing: An empirical study for India
Piyush Pandey,Sanjay Sehgal +1 more
TL;DR: In this article, the role of the sentiment-based factor in asset pricing to explain prominent equity market anomalies such as size, value, and price momentum for India was evaluated and based on the findings, the composite sentiment index leads other sentiment indices currently in vogue in investment literature.
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A review paper on behavioral finance: study of emerging trends
Aditya Sharma,Arya Kumar +1 more
TL;DR: In this paper, a comprehensive review of literature in favor, as well as against the long held belief of market efficiency is presented, highlighting the gaps in the market efficiency and also suggesting how these gaps can be bridged with a superior approach such as behavioral finance.
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On the relationship between implied volatility index and equity index returns
Imlak Shaikh,Puja Padhi +1 more
TL;DR: In this article, the authors analyzed the asymmetric contemporaneous relationship between implied volatility index (India VIX) and equity index (S & P CNX Nifty Index) in the form of day-of-the-week effects and option expiration cycle and found that the changes in India VIX occur bigger for the negative return shocks than the positive returns shocks.
Journal ArticleDOI
Conditional multifactor asset pricing model and market anomalies
TL;DR: In this paper, the authors investigate the firm-specific anomaly effect and identify market anomalies that account for the cross-sectional regularity in the Indian stock market and examine the crosssectional return predictability of market anomalies after making the firm specific raw return risk adjusted with respect to the systematic risk factors in the unconditional and conditional multifactor specifications.
References
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Journal ArticleDOI
Short‐term momentum patterns in stock and sectoral returns: evidence from India
Sanjay Sehgal,Sakshi Jain +1 more
TL;DR: In this article, the authors evaluate if there are any momentum patterns in stock and sectoral returns and if they can be explained by the risk factors and find momentum profits in Indian context for prior return portfolios which are stronger for 6-6 compared to 12-12 strategies.
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Investor Sentiment in India: A Survey
TL;DR: In this article, the authors examine definitional aspect of investor sentiment, the key economic, market and regulatory factors that influence investor sentiment and the relationship between investor sentiment; they examine the definitional and definitional aspects of investor sentiments.
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Emerging trends in financial markets integration: the Indian experience
TL;DR: In this paper, the impact of financial sector reform measures on integration of various segments of financial markets in India has been analyzed and the authors concluded that the financial market integration is inconclusive in India and only a few segments of money market, Gilt market, and foreign exchange market are integrated.
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Investor Sentiment and Stock Return: Do Industries Matter?:
TL;DR: In this paper, the authors evaluate the pricing implications of market-wide investor sentiment risk for cross-sectional return variations of Indian listed companies across industry verticals across industry segments and industries.
Developing an investor sentiment index for India
TL;DR: In this article, an attempt has been made to develop an investor sentiment index for India and also evaluate its relationship with market performance and find that both index and market returns exhibit bilateral causality thus implying that both impact each other.