Journal ArticleDOI
Investor sentiment, risk factors and stock return: evidence from Indian non‐financial companies
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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.
Journal ArticleDOI
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.
Journal ArticleDOI
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.
Journal ArticleDOI
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.
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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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The arbitrage theory of capital asset pricing
TL;DR: Ebsco as mentioned in this paper examines the arbitrage model of capital asset pricing as an alternative to the mean variance pricing model introduced by Sharpe, Lintner and Treynor.
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Multifactor Explanations of Asset Pricing Anomalies
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors show that many of the CAPM average-return anomalies are related, and they are captured by the three-factor model in Fama and French (FF 1993).
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An intertemporal capital asset pricing model
TL;DR: In this article, an intertemporal model for the capital market is deduced from portfolio selection behavior by an arbitrary number of investors who aot so as to maximize the expected utility of lifetime consumption and who can trade continuously in time.
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The relationship between return and market value of common stocks
TL;DR: Scholes et al. as discussed by the authors examined the relationship between the total market value of the common stock of a firm and its return and found that small firms had higher risk adjusted returns than large firms.
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Noise Trader Risk in Financial Markets
TL;DR: In this article, the authors present a simple overlapping generations model of an asset market in which irrational noise traders with erroneous stochastic beliefs both affect prices and earn higher expected returns.