In this dissertation I deal with three aspects of asset pricing. First, I analyze international bank stock returns and show the existence of a bank specific industry effect. Second, I explain parts of the size and the value factor of the Fama-French model by default and disaster risk. Third, I...

We construct investor sentiment of UK stock market using the procedure of principal component analysis. Using sentiment-augmented EGARCH component model, we analyse the impacts of sentiment on market excess return, the permanent component of market volatility and the transitory component of...