The revisited role of investor sentiment for equity value
Autor(a) principal: | |
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Data de Publicação: | 2021 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/142191 |
Resumo: | This paper contrasts traditional asset pricing models with the assumptions of behavioural finance and investigates the asset valuation explanatory power of investor sentiment. Therefore, we extend the Fama-French-4-Factor model by another factor controlling for sentiment. We consider different portfolios segmented by the firm characteristics size, value (book-to-market) and volatility. Even though the revised factor model does not improve the predictive power, our segmentation sheds light on the cross-section of stock return by examining stocks sensitivities to changes in beginning-of-period sentiment. The empirical model confirms our predictions that smaller, more volatile and growth stocks are more affected by sentiment changes. |
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The revisited role of investor sentiment for equity valueAsset pricingCorporate financeBehavioral financeAsset managementInvestor sentimentFama French factor modelDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis paper contrasts traditional asset pricing models with the assumptions of behavioural finance and investigates the asset valuation explanatory power of investor sentiment. Therefore, we extend the Fama-French-4-Factor model by another factor controlling for sentiment. We consider different portfolios segmented by the firm characteristics size, value (book-to-market) and volatility. Even though the revised factor model does not improve the predictive power, our segmentation sheds light on the cross-section of stock return by examining stocks sensitivities to changes in beginning-of-period sentiment. The empirical model confirms our predictions that smaller, more volatile and growth stocks are more affected by sentiment changes.Rizzo, EmanueleRUNBüning, Leopold Hubertus2022-07-20T15:32:00Z2022-01-102021-12-172022-01-10T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/142191TID:203020901enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:19:41Zoai:run.unl.pt:10362/142191Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:50:11.808628Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The revisited role of investor sentiment for equity value |
title |
The revisited role of investor sentiment for equity value |
spellingShingle |
The revisited role of investor sentiment for equity value Büning, Leopold Hubertus Asset pricing Corporate finance Behavioral finance Asset management Investor sentiment Fama French factor model Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
The revisited role of investor sentiment for equity value |
title_full |
The revisited role of investor sentiment for equity value |
title_fullStr |
The revisited role of investor sentiment for equity value |
title_full_unstemmed |
The revisited role of investor sentiment for equity value |
title_sort |
The revisited role of investor sentiment for equity value |
author |
Büning, Leopold Hubertus |
author_facet |
Büning, Leopold Hubertus |
author_role |
author |
dc.contributor.none.fl_str_mv |
Rizzo, Emanuele RUN |
dc.contributor.author.fl_str_mv |
Büning, Leopold Hubertus |
dc.subject.por.fl_str_mv |
Asset pricing Corporate finance Behavioral finance Asset management Investor sentiment Fama French factor model Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Asset pricing Corporate finance Behavioral finance Asset management Investor sentiment Fama French factor model Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
This paper contrasts traditional asset pricing models with the assumptions of behavioural finance and investigates the asset valuation explanatory power of investor sentiment. Therefore, we extend the Fama-French-4-Factor model by another factor controlling for sentiment. We consider different portfolios segmented by the firm characteristics size, value (book-to-market) and volatility. Even though the revised factor model does not improve the predictive power, our segmentation sheds light on the cross-section of stock return by examining stocks sensitivities to changes in beginning-of-period sentiment. The empirical model confirms our predictions that smaller, more volatile and growth stocks are more affected by sentiment changes. |
publishDate |
2021 |
dc.date.none.fl_str_mv |
2021-12-17 2022-07-20T15:32:00Z 2022-01-10 2022-01-10T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/142191 TID:203020901 |
url |
http://hdl.handle.net/10362/142191 |
identifier_str_mv |
TID:203020901 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799138099274448896 |