scholarly journals Investor Sentiment and Asset Pricing: A Review

2017 ◽  
Vol 3 (1) ◽  
Author(s):  
C. Gunathilaka
Keyword(s):  
Asset Pricing ◽  
Emerging Markets ◽  
Empirical Work ◽  
Investor Sentiment ◽  
Pricing Models ◽  
Market Sentiment ◽  
Financial Innovations ◽  
Asset Pricing Models ◽  
Investor Behaviour

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

Two Pillars of Asset Pricing

2014 ◽  
Vol 104 (6) ◽  
pp. 1467-1485 ◽  
Author(s):  
Eugene F. Fama
Keyword(s):  
Asset Pricing ◽  
Capital Markets ◽  
Empirical Work ◽  
Efficient Markets ◽  
Pricing Models ◽  
Nobel Lecture ◽  
Siamese Twins ◽  
Asset Pricing Models

The Nobel Foundation asks that the Nobel lecture cover the work for which the Prize is awarded. The announcement of this year's Prize cites empirical work in asset pricing. I interpret this to include work on efficient capital markets and work on developing and testing asset pricing models—the two pillars, or perhaps more descriptive, the Siamese twins of asset pricing. I start with efficient markets and then move on to asset pricing models.

Implications of Predictability Across Horizons for Asset Pricing Models

2012 ◽  
Author(s):  
Carlo A. Favero ◽  
Fulvio Ortu ◽  
Andrea Tamoni ◽  
Haoxi Yang
Keyword(s):  
Asset Pricing ◽  
Pricing Models ◽  
Asset Pricing Models
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