The revisited role of investor sentiment for equity value

• Autor(a) principal: Büning, Leopold Hubertus
• 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
• topic: Asset pricing; Corporate finance; Behavioral finance; Asset management; Investor sentiment; Fama French factor model; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

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.