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Sentiment asset pricing model with consumption
Yang, Chunpeng; Zhang, Rengui - In: Economic Modelling 30 (2013) C, pp. 462-467
We present an asset pricing model by incorporating investor sentiment. The sentiment equilibrium price could be decomposed to the rational term and the sentiment term, and the investor sentiment has a systematic and significant impact on the risky asset price. In the model, the sentiment term...
Persistent link: https://www.econbiz.de/10010608251
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Investor sentiment, information and asset pricing model
Yang, Chunpeng; Li, Jinfang - In: Economic Modelling 35 (2013) C, pp. 436-442
We present an asset pricing model with investor sentiment and information, which shows that the investor sentiment has a systematic and significant impact on the asset price. The equilibrium price's rational term drives the asset price to the rational, and the sentiment term leads to the asset...
Persistent link: https://www.econbiz.de/10010719422
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Heterogeneity and sentiment in the stock market
Frijns, Bart; Gilbert, Aaron; Tourani-Rad, Alireza - In: International Journal of Behavioural Accounting and Finance 2 (2011) 2, pp. 140-151
In this paper, we investigate the question whether the changing beliefs in different countries may be driven by common investors' sentiment. We examine this issue by investigating the relationship between the degree of switching in two major stock markets, the USA and the UK, for a long period...
Persistent link: https://www.econbiz.de/10009360080
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Investor sentiment and market reaction: evidence on 2010 FIFA World Cup
Vieira, Elisabete F. Simões - In: International Journal of Economics and Accounting 3 (2012) 1, pp. 51-76
The purpose of this study is to examine whether investor sentiment influences the stock price reaction to football matches results, giving some contribute to the behaviour finance, or if investors react in a rational way, giving evidence of standard finance. To proxy for investor sentiment, we...
Persistent link: https://www.econbiz.de/10011015140
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Financial history and financial economics
Turner, John D. - Centre for Economic History, Management School - 2014
This essay looks at the bidirectional relationship between financial history and financial economics. It begins by giving a brief history of financial economics by outlining the main topics of interest to financial economists. It then documents and explains the increasing influence of financial...
Persistent link: https://www.econbiz.de/10010958283
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A new Model for Stock Price Movements
Venier, Guido - Volkswirtschaftliche Fakultät, … - 2007
A new alternative diffusion model for asset price movements is presented. In contrast to the popular approach of Brownian motion it proposes deterministic diffusion for the modelling of stock price movements. These diffusion processes are a new area of physical research and can be created by the...
Persistent link: https://www.econbiz.de/10005836494
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EVOLUCION DE LAS ESTRATEGIAS DE INVERSION EN ACCIONES (BORRADOR)
Rubio, Fernando - EconWPA - 2005
desarrollo del CAPM y APT; y, la actual, correspondiente a las anomalias del CAPM, la cual incluye el estudio del behavioural …
Persistent link: https://www.econbiz.de/10005134816
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Are investor sentiments priced by the CAPM?
Verma, Rahul; Soydemir, Gökçe - In: Journal of Financial Transformation 35 (2012), pp. 57-70
In this paper, we investigate whether the international version of CAPM can price rational and irrational sentiments of … U.S. individual and institutional investor sentiments. The results show that the CAPM prices rational sentiments driven … positively related to returns predicted, as well as those not predicted by the CAPM. We also compare these findings with the …
Persistent link: https://www.econbiz.de/10010991643
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Stock prices and the location of trade: Evidence from China-backed ADRs
Wang, Xue; Yao, Lee J.; Fang, Victor - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 677-688
This study examines whether the trading location affects equity returns of China-backed American Depository Receipts (ADRs) traded in the US. If International Financial Markets are integrated, stock prices should be affected only by their fundamentals; otherwise, stock prices may also be...
Persistent link: https://www.econbiz.de/10010730248
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First and Second Order Impacts of Speculation on Commodity Price Volatility
Doroudian, Ali; Vercammen, James - Structure and Performance of Agriculture and … - 2012
CAPM model is used to derive the demand for commodity futures contracts by institutional investors, and this derived demand …
Persistent link: https://www.econbiz.de/10010879375