This paper reviews literature on asset pricing and investor sentiment. It provides a fair accumulation of evidence with an objective of showing how productive has been the effort of modelling market sentiment in pricing assets. Research efforts in modelling non-standard investor behaviour have been successful in explaining aggregate predictability. However, despite the financial innovations and discussions on investor sentiment that happened in US markets, empirical work in emerging markets is still preliminary. The paper inquires the extent that the existing asset pricing models price the assets in the economy.KeywordsInvestor, Pricing, Returns, Sentiment
Asset pricing models in emerging markets: Factorial approaches vs. information stochastic discount factor
