Investor Sentiment and Assets Valuation

Hu, Changsheng; Wang, Yongfeng

doi:10.1016/j.sepro.2011.11.023

Cited by 24 publications

(15 citation statements)

References 13 publications

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“…Significance * at 1% level. The results reveal that IS is significant across all categories of portfolios, suggesting that it is a source of systemic risk, and is consistent with Changsheng and Yongfeng (2012). However, small stocks show a marginally higher sensitivity to investor sentiment than the big stocks.…”

Section: Resultssupporting

confidence: 60%

“…Three proxies become negative while dividend premium become positive in the second component. Changsheng and Yongfeng (2012) use an average of the first and second components giving weights to Eigen values of the two. However, some of their proxies show an inverse relationship in the second component.…”

Section: Spmentioning

confidence: 99%

“…The behavioral biasness, whether cognitive, affective or both, therefore result in speculations, and limits arbitrage opportunities for rational investors. Hence, the literature argues that the sentiment is a systemic risk (Changsheng & Yongfeng 2012) which epitomizes many psychological factors, behavioral biases in markets.…”

Section: Introductionmentioning

confidence: 99%

“…TR is used to capture liquidity shifts of the market and it is important applying a liquidity indicator since emerging markets are relatively illiquid. Other proxies used in the literature include, change in margin financing and put-call ratio (Brown & Cliff 2004), buy and sell imbalance ratio (Kumar & Lee 2006), share turnover velocity (Mahakud & Dash 2012), net cash flows to equity funds (Randall, Suk & Tully 2003), institutional churn (Chae & Yang 2008) and number of new stock accounts (Changsheng & Yongfeng 2012). We make use of these proxies, which we observe appropriate to the Malaysian market, in our effort of concocting a better pricing model.…”

Section: Introductionmentioning

confidence: 99%

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Investor Sentiment, Human Capital and Fama French Factors: Measurement and Performance in the Malaysian Market

Gunathilaka

Jais

2019

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This paper examines pricing implications of investors' behavioral biasness in the Malaysian equity market. By using monthly data from January 2000, through January 2014, we explore the impact of investor sentiment, human capital, and Fama-French risk factors in multiple factor asset pricing models. A unique seven-variable composite index is used for the measurement of investor sentiment. Results indicate that sentiment is a priced risk, and display the ability to capture returns unexplained by SMB (Small minus Big) and HML (High minus Low) factors. Evidence suggests that sentiment is a source of systemic risk, and effectively explains returns of stocks with opaque characteristics. Modeling aggregate labor income produces insignificant results, suggesting that there are no returns for human capital in the Malaysian equity market. The Fama and French three factor model together with investor sentiment risk achieves a substantial pricing efficiency.

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Section: Resultssupporting

confidence: 60%

Section: Spmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Investor Sentiment, Human Capital and Fama French Factors: Measurement and Performance in the Malaysian Market

Gunathilaka

Jais

2019

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“…New investors in the market have to get the advice for their investment from the experienced ones. Changsheng and Yongfeng (2012) examine that the investor sentiments bullish behavior can led the stock's performance high as the excess margin of returns are observed. Changes in investor sentiments showed the movement of changes in the return.…”

Section: Investor Trading and Volatilitymentioning

confidence: 99%

Impact of Investor Sentiments on Future Trading

Ahmad

2014

IBTJBS

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Purpose: This study bridges the gap between future trading prospects and information required to mold investors’ sentiments so s/he could devise better future trading strategies. Methodology/Sampling: This study takes all companies which trade the futures on the KSE. This study used the monthly data of the futures trading, stock return, stock turnover, high-low ratio and the realized volatility. The data is taken from January 2008 to December 2012 to test investor sentiments impact on future trading. Companies’ data is retrieved from the official website of KSE. The thirty-eight companies’ data is used in this study. Findings: The contrivance of future trading relationship with the investor sentiments is appraised in this study. The main difference between this and the previous discourse is that we construct the futures trading model that employ the investor sentiments. Practical Implications: The verdict of this study holds the important useful implications particularly as consideration of investor sentiments in the presence of the futures trading in Pakistan.

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The Asymmetric Response of Equity Markets to Sentiment Risk: A New Asset Pricing Model

Dhaoui

Bourouis

2022

Contributions to Finance and Accounting

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Investor Sentiment and Assets Valuation

Cited by 24 publications

References 13 publications

Investor Sentiment, Human Capital and Fama French Factors: Measurement and Performance in the Malaysian Market

Investor Sentiment, Human Capital and Fama French Factors: Measurement and Performance in the Malaysian Market

Impact of Investor Sentiments on Future Trading

The Asymmetric Response of Equity Markets to Sentiment Risk: A New Asset Pricing Model

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