Journal ArticleDOI
Investor sentiment, risk factors and stock return: evidence from Indian non‐financial companies
Reads0
Chats0
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
More filters
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.
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
More filters
Journal ArticleDOI
Contrarian Investment, Extrapolation, and Risk
TL;DR: In this article, the authors provide evidence that value strategies yield higher returns because these strategies exploit the suboptimal behavior of the typical investor and not because these riskier strategies are fundamentally riskier.
Journal ArticleDOI
Investor sentiment and the cross-section of stock returns
Malcolm Baker,Jeffrey Wurgler +1 more
TL;DR: The authors study how investor sentiment affects the cross-section of stock returns and find that when sentiment is low, subsequent returns are relatively high for small stocks, young stocks, high volatility stocks, unprofitable stocks, non-dividend-paying stocks, extreme growth stocks, and distressed stocks.
Journal ArticleDOI
The Limits of Arbitrage
Andrei Shleifer,Robert W. Vishny +1 more
TL;DR: In this paper, the authors argue that the textbook description of arbitrage does not describe realistic arbitrage trades, and moreover the discrepancies become particularly important when arbitrageurs manage other people's money.
ReportDOI
A model of investor sentiment
TL;DR: The authors presented a parsimonious model of investor sentiment, or of how investors form beliefs, based on psychological evidence and produces both underreaction and overreaction for a wide range of parameter values.
Posted Content
Presentation Slides for 'Investor Psychology and Security Market Under and Overreactions'
Kent Daniel,Kent Daniel,David Hirshleifer,David Hirshleifer,Avanidhar Subrahmanyam,Avanidhar Subrahmanyam +5 more
TL;DR: This paper proposed a theory of securities market under- and overreactions based on two well-known psychological biases: investor overconfidence about the precision of private information; and biased self-attribution, which causes asymmetric shifts in investors' confidence as a function of their investment outcomes.