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Do energy prices affect U.S. investor sentiment?Apergis, Nicholas; Cooray, Arusha; Rehman, Mobeen Ur; University of Piraeus; University of Nottingham, Malaysia; Szabist Islamabad (Taylor & Francis, 2017-10-27)The current literature has examined the effect of investor sentiment on energy prices, but no study ever has explored the validity of the reverse question. Therefore, this paper explores whether energy prices, i.e. crude oil and natural gas prices, affect U.S. investor sentiment, using the methodology of quantile regression. The empirical results document that controlling for a number of U.S. macroeconomic and financial factors, there exists a statistically significant association between oil and natural gas prices and investor sentiment. However, only natural gas prices appear to retain their statistical significance over the majority of quantiles. These findings received robust support under alternative measures of the investor sentiment index.
Is CAPM a Behavioral Model? Estimating Sentiments from RationalismApergis, Nicholas; Rehman, Mobeen Ur; University of Piraeus; Shaheed Zulficar Ali Bhutto Institute of Science and Technology (Taylor & Francis, 2018-03-06)The authors investigate the role of investor sentiment in asset pricing. In particular, they explore whether this investor sentiment has the ability to be predicted by the residuals from the capital asset pricing model (CAPM). The analysis makes use of data for S&P500 firms on a daily basis, spanning the period of 1995–2015, as well as certain panel methodological approaches. The results suggest that the residuals from the CAPM model gain explanatory power for investor sentiment. In other words, investor sentiment is a priced factor. The implication of this finding is that overlooking the role of investor sentiment in classical finance theory could lead to an imperfect picture of describing the asset pricing.
Sensitivity of economic policy uncertainty to investor sentimentRehman, Mobeen Ur; Apergis, Nicholas; University of Piraeus; University of Derby; Institute of Science and Technology Islamabad, Pakistan (Emerald, 2019-06-24)A series of global financial crises in 21st century, steep economic decline and slow recoveries have intensified the concern of regulatory bodies for economic policy certainty. This study explores the effect of investor sentiment on economic policy uncertainty (EPU), spanning the period 1995-2015. The analysis is carried out for Asian, Developed and the European market samples by applying the method of quantile regressions. The findings document the presence of a negative impact of investor sentiment on EPU. Robustness analysis illustrates the validity of the results for the cases of Asian and Developed markets.