Arbeitspapier
The Effects of Sentiment on Market Return and Volatility and The Cross-Sectional Risk Premium of Sentiment-affected Volatility
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 market volatility. Bullish sentiment leads to higher market excess return while bearish sentiment leads to lower excess return. Sentiment-augmented EGARCH component model compares favourably to the original EGARCH component model which does not take investor sentiment into account. Furthermore, we test the cross-sectional risk premia of the permanent and transitory components of sentiment-affected volatility in the framework of ICAPM.
- Sprache
-
Englisch
- Erschienen in
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Series: Cardiff Economics Working Papers ; No. E2014/12
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
International Financial Markets
- Thema
-
investor sentiment
principal component analysis
EGARCH component model
ICAPM
cross-sectional risk premium
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Yang, Yan
Copeland, Laurence
- Ereignis
-
Veröffentlichung
- (wer)
-
Cardiff University, Cardiff Business School
- (wo)
-
Cardiff
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Yang, Yan
- Copeland, Laurence
- Cardiff University, Cardiff Business School
Entstanden
- 2014
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