Chasing noise in the stock market: an inquiry into the dynamics of investor sentiment and asset pricing
Rilwan Sakariyahu,
Audrey Paterson,
Eleni Chatzivgeri
et al.
Abstract:This study explores the inclusion of sentiment measures as a risk factor in asset pricing. Using UK market data for the period January 1993 to December 2020, we create a new sentiment variable, and construct both raw and clean sentiment indices from a principal component analysis of a variety of literature-acknowledged sentiment proxies. Essentially, the model estimations are categorized into two: first, the study documents the performance of the traditional pricing models on portfolios formed on different cha… Show more
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