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dc.contributor.authorApergis, Nicholas
dc.contributor.authorRehman, Mobeen Ur
dc.date.accessioned2018-11-26T14:07:25Z
dc.date.available2018-11-26T14:07:25Z
dc.date.issued2018-03-06
dc.identifier.citationApergis, N., and Rehman, M.U. (2018) ‘Is CAPM a behavioral model? Estimating sentiments from rationalism’, Journal of Behavioral Finance, 19(4), pp.442-449, DOI: 10.1080/15427560.2018.1431885en
dc.identifier.issn1542-7560
dc.identifier.doi10.1080/15427560.2018.1431885
dc.identifier.urihttp://hdl.handle.net/10545/623157
dc.description.abstractThe 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.
dc.description.sponsorshipN/Aen
dc.language.isoenen
dc.publisherTaylor & Francisen
dc.relation.urlhttps://www.tandfonline.com/doi/full/10.1080/15427560.2018.1431885en
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectInvestor sentimenten
dc.subjectCAPMen
dc.subjectPanel dataen
dc.titleIs CAPM a Behavioral Model? Estimating Sentiments from Rationalismen
dc.typeArticleen
dc.identifier.eissn1542-7579
dc.contributor.departmentUniversity of Piraeusen
dc.contributor.departmentShaheed Zulficar Ali Bhutto Institute of Science and Technologyen
dc.identifier.journalJournal of Behavioral Financeen
html.description.abstractThe 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.


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