ARBITRAGEUR BEHAVIOR IN SENTIMENT-DRIVEN ASSET-PRICING

2021 ◽  
Author(s):  
ERDEM KILIC ◽  
OGUZHAN GÖKSEL
Keyword(s):  
Asset Pricing ◽  
Predictive Power ◽  
Equity Premium ◽  
Equity Markets ◽  
Future Price ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
The Impact

This study aims to model arbitrageur behavior in a sentiment-driven capital asset-pricing model under the premise of reflecting a more detailed decomposition of investor types in the equity markets. We explore the behavior and the impact of arbitrageur behavior, particularly, on pricing and on key financial ratios. We observe that the prevalence of the arbitrageur counteracts the effects of unsophisticated investors, resulting in a lower volatility of the price–dividend ratio, lower predictive power of changes in consumption for future price changes and lower equity premium. Thus, the results of our research allow us to conjecture that the extrapolation bias in the prices is lowered.

scholarly journals The Impact of Herding on the Expected Return in the Egyptian Stock Exchange

2019 ◽  
Vol 10 (2) ◽  
pp. 5-20
Author(s):  
Mostafa Hussein Abd Alla ◽  
Mahmoud Sobh
Keyword(s):  
Asset Pricing ◽  
Stock Exchange ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Expected Return ◽  
Asset Pricing Model ◽  
The Impact ◽  
Egyptian Stock Exchange

This paper examines the impact of herding behaviour on the expected return in the Egyptian Stock Exchange by adding an additional risk factor reflecting herding behaviour to the capital asset pricing model. The study used monthly excess stock returns of 50 stocks listed on the Egyptian Stock Exchange from January 2014 to December 2018. The results do not support the capital asset pricing model before and after adding the herding behaviour factor, therefore there is no effect of herding behaviour on the expected return.

scholarly journals The Myth of Downside Risk Based Capital Asset Pricing Model: Empirical Evidence from South Asian Countries

2018 ◽  
Vol III (III) ◽  
pp. 265-280
Author(s):  
Syed Aziz Rasool ◽  
Adiqa Kausar Kiani ◽  
Noor Jehan
Keyword(s):  
Asset Pricing ◽  
South Asian ◽  
Equity Markets ◽  
Downside Risk ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Asian Countries ◽  
Capital Asset ◽  
Asset Pricing Model

The study aims to empirically investigate the applicability of the downside risk based Capital Asset Pricing Model (CAPM) for four south Asian countries e.g. Bangladesh, India, Pakistan and Sri Lanka. Fama-MacBeth methodology is used for monthly data from January 2007 to December 2017. The results partially supported the predictors of the model for all the four equity markets and can be concluded that the downside risk based CAPM better suits the emerging equity markets. All market players may be benefited with the results concluded in the study. The region have large similarities and the setup of the equity markets is also quite identical, making them suitable for an integrated stock market.

scholarly journals AN INVESTIGATION RELATING TO THE APPLICATION OF CAPITAL ASSET PRICING MODEL (CAPM) IN STOCK MARKET

2021 ◽  
pp. 1-6
Author(s):  
Dr.Himanshu Saxena
Keyword(s):  
Decision Making ◽  
Asset Pricing ◽  
Stock Market ◽  
Market Price ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
The Impact

Purpose – The present study aims to examine the concept of Capital Asset Pricing Model (CAPM), the mechanism of Capital Asset Pricing Model (CAPM) and evaluate its applicability as tools that Investors and Traders can use to facilitate decision making related to stocks in Stock Market. Design/methodology/approach – This paper uses secondary data to empirically examine the impact of Capital Asset Pricing Model in Stock Market. Since, Capital Asset Pricing Model occupies an important place in the Security Analysis and Portfolio Management, therefore this Model has been selected in order to bring to light the current mechanism prevailing in the Stock Market. Findings- In this paper, it has been highlighted that CAPM can be strategically used to determine whether securities are overvalued or undervalued and whether the stocks are to be purchased or sold. Application of CAPM can be truly helpful in the process of decision making and can also help in buying or selling the securities at the right time and right price. Research Implications- Application of CAPM in Stock Market carries a wide scope and this area needs to be worked on. A deeper understanding of CAPM will help investors and traders to determine optimum strategies, estimate and forecast precisely the value or the market price of the securities. Practical Implications- This study also signifies an important implication of Capital Asset Pricing Model which is estimating the market price of the stock using equilibrium return and simultaneously aims to assess the applicability of this analysis in the Stock Market. Originality- The study seeks to contribute towards the existing literature on usage of Capital Asset Pricing Model (CAPM) in Stock Market by giving a new perspective. KEYWORDS: Capital Asset Pricing Model (CAPM) , Capital Market Theory, Expected Return, Equilibrium Return, Sharpe Index Model, Stock Market

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