Investor sentiment risk factor and asset pricing anomalies
Ho, Jerry C. & Hung, Chi-Hsiou (2013) Investor sentiment risk factor and asset pricing anomalies. In 2013 New Zealand Finance Colloquim, 2013-02-07 - 2013-02-08. (Unpublished)
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Description
We investigate the role of investor sentiment as a risk factor in stock returns. The average return differential is 1.48% (0.75%) per month between the decile portfolis with the highest positive (most negative) sentiment beta and that with zero sentiment beta. The sentiment factor, SMN, has statistically significant average returns ranging from 1.36% to 0.67% per month, and commands a positive and statistically significant risk premium. Consistent with the theory that sentiment creates a risk in addition to fundamental risk, the sentiment-augmented asset-pricing models always explain the size effect, and conditional models often capture the size, value and momentum effects.
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| ID Code: | 113797 | ||
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| Item Type: | Contribution to conference (Paper/Presentation) | ||
| Refereed: | No | ||
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| Keywords: | Asset pricing, Conditional models, Investor sentiment, Market anomalies, Risk factors | ||
| Pure ID: | 57305723 | ||
| Divisions: | Past > QUT Faculties & Divisions > QUT Business School Current > Schools > School of Economics & Finance |
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| Copyright Owner: | 2013 The Author(s) | ||
| Copyright Statement: | This work is covered by copyright. Unless the document is being made available under a Creative Commons Licence, you must assume that re-use is limited to personal use and that permission from the copyright owner must be obtained for all other uses. If the document is available under a Creative Commons License (or other specified license) then refer to the Licence for details of permitted re-use. It is a condition of access that users recognise and abide by the legal requirements associated with these rights. If you believe that this work infringes copyright please provide details by email to [email protected] | ||
| Deposited On: | 22 Nov 2017 04:46 | ||
| Last Modified: | 08 Feb 2025 06:16 |
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