Investor sentiment and aggregate volatility pricing

Labidi, Chiraz; Yaakoubi, Soumaya

doi:10.1016/j.qref.2015.11.005

Cited by 19 publications

(2 citation statements)

References 32 publications

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“…Their study also found the negative effect of irrational sentiment on volatility. Labidi and Yaakoubi (2016) showed that aggregate volatility risk is priced only during the low sentiment periods. On similar lines, Kumari and Mahakud (2015) found that negative investor sentiment influences the volatility, providing evidence to the proposition that pessimism of noise traders leads to volatile market.…”

Section: Literature Reviewmentioning

confidence: 99%

Asymmetric relationship of investor sentiment with stock return and volatility: evidence from India

Chakraborty

Subramaniam

2020

RBF

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PurposeThe study examines the cross-sectional and asymmetric relationship of investor sentiment with the stock returns and volatility in India.Design/methodology/approachThe investor sentiment is captured using a market-based measure Market Mood Index (MMI) and a survey-based measure Consumer Sentiment Index (CSI). The asymmetric effect of the relationship is examined using quantile causality approach and cross-sectional effect is examined by considering indices such as the BSE Sensex, and the various size indices such as BSE Large cap, BSE Mid cap and BSE Small cap.FindingsThe result of the study found that investor sentiment (MMI) cause stock returns at extreme quantiles. Lower sentiment induces fear-induced selling, thereby lowers the returns and high sentiment is followed by lower future returns as market reverts to fundamentals. On the other hand, bullish shifts in sentiment lower the volatility. There exists a positive feedback effect of stock return and volatility in the formation of investor sentiment.Originality/valueThe study captures both asymmetric and cross-sectional relationship of investor sentiment and stock market in an emerging economy, India. The study uses a novel data set (i.e.) MMI which captures the sentiment based on market indicators and are widely disseminated to the public.

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Section: Literature Reviewmentioning

confidence: 99%

Asymmetric relationship of investor sentiment with stock return and volatility: evidence from India

Chakraborty

Subramaniam

2020

RBF

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“…Thus, the higher the IAP, the higher the investor sentiment towards dividend, which means the stronger the investor expects the company to share dividends. This study adopts the model scrutinised by Wurgler (2004b, 2006), who use dividend premium as investor sentiment's proxy on the dividend in the aggregate market (supported by Labidi and Yaakoubi, 2016). The company will respond it by making a dividend initiation decision, which is the decision to start paying dividends again after a long period of not paying (Venkatesh, 1989;Jain et al, 2009;Kale et al, 2012).…”

Section: Hypothesis Developmentmentioning

confidence: 99%

Are investors' desires for dividend increases stronger than dividend initiation

Wijaya¹,

Narsa²,

Irwanto³

et al. 2021

IJTGM

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This study aims to explore whether information asymmetry premium (IAP) as the foundation of the investors' desire in the dividend increases decision is stronger than the dividend initiation decision. This study finds that IAP can significantly complement the dividend increases decisions and substitute dividend premium for dividend initiation. The results of the study support Li and Lie (2006) and Chazi et al. (2018), who fleshed out Baker and Wurgler (2004b). The findings of this study show that the investor's desire towards dividend increases reflects investor sentiment on dividends, explained through the level of information asymmetry between dividend payers and non-payers. Further analysis shows that irrational investor behaviour in expecting dividend increases to be paid continuously is significant compared to dividend initiation. This research contributes to behavioural finance research in bonding dividend catering incentives and dividend signaling theory.

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