Investor sentiment, risk factors and asset pricing : Evidence from Malaysia

This study examines pricing implications of aggregate investor sentiment risk for equity returns, in presence of other market wide risk factors. Effects of Size, Book-to-Market, Illiquidity, Momentum, Human capital, and systematic risk of Capital Assets Pricing Model (CAPM) are analyzed using 72 ris...

Full description

Saved in:

Bibliographic Details
Main Author:	Gunathilaka, Ambagahawatte Gedara Chandana.
Format:	Thesis
Language:	English
Published:	2016
Subjects:	H Social Sciences (General) HG Finance
Online Access:	http://ir.unimas.my/id/eprint/20922/1/Gunathilaka.pdf
Tags:	Add Tag No Tags, Be the first to tag this record!

id	my-unimas-ir.20922
record_format	uketd_dc
spelling	my-unimas-ir.209222023-03-30T02:23:46Z Investor sentiment, risk factors and asset pricing : Evidence from Malaysia 2016 Gunathilaka, Ambagahawatte Gedara Chandana. H Social Sciences (General) HG Finance This study examines pricing implications of aggregate investor sentiment risk for equity returns, in presence of other market wide risk factors. Effects of Size, Book-to-Market, Illiquidity, Momentum, Human capital, and systematic risk of Capital Assets Pricing Model (CAPM) are analyzed using 72 risk-mimicking portfolios under applications of both time series and panel methods for 14 years up to 2013. It devises a unique seven-variable (7-V) index in capturing the investor sentiment risk based up on the methodology of Baker and Wurgler (2007). Risk factors and test portfolios construction follows Fama French approach. Time series and panel dynamic models are tested in a multifactor APT setting. CAPM poorly performs in explaining average stock returns. An asset’s exposure to size, value, momentum, and illiquidity characteristics subordinates CAPM’s explanatory power. Results demonstrate the significance of choice of sentiment-adjusted pricing in Malaysia. The 7-V index shows its efficiency in capturing Malaysian sentiment and power of explaining stock returns by improving efficiency of multifactor pricing models significantly. Evidence leans at describing the investor sentiment as a source of systemic risk. unimas 2016 Thesis http://ir.unimas.my/id/eprint/20922/ http://ir.unimas.my/id/eprint/20922/1/Gunathilaka.pdf text en validuser phd doctoral Universiti Malaysia Sarawak Faculty of Economics and Business.
institution	Universiti Malaysia Sarawak
collection	UNIMAS Institutional Repository
language	English
topic	H Social Sciences (General) HG Finance
spellingShingle	H Social Sciences (General) HG Finance Gunathilaka, Ambagahawatte Gedara Chandana. Investor sentiment, risk factors and asset pricing : Evidence from Malaysia
description	This study examines pricing implications of aggregate investor sentiment risk for equity returns, in presence of other market wide risk factors. Effects of Size, Book-to-Market, Illiquidity, Momentum, Human capital, and systematic risk of Capital Assets Pricing Model (CAPM) are analyzed using 72 risk-mimicking portfolios under applications of both time series and panel methods for 14 years up to 2013. It devises a unique seven-variable (7-V) index in capturing the investor sentiment risk based up on the methodology of Baker and Wurgler (2007). Risk factors and test portfolios construction follows Fama French approach. Time series and panel dynamic models are tested in a multifactor APT setting. CAPM poorly performs in explaining average stock returns. An asset’s exposure to size, value, momentum, and illiquidity characteristics subordinates CAPM’s explanatory power. Results demonstrate the significance of choice of sentiment-adjusted pricing in Malaysia. The 7-V index shows its efficiency in capturing Malaysian sentiment and power of explaining stock returns by improving efficiency of multifactor pricing models significantly. Evidence leans at describing the investor sentiment as a source of systemic risk.
format	Thesis
qualification_name	Doctor of Philosophy (PhD.)
qualification_level	Doctorate
author	Gunathilaka, Ambagahawatte Gedara Chandana.
author_facet	Gunathilaka, Ambagahawatte Gedara Chandana.
author_sort	Gunathilaka, Ambagahawatte Gedara Chandana.
title	Investor sentiment, risk factors and asset pricing : Evidence from Malaysia
title_short	Investor sentiment, risk factors and asset pricing : Evidence from Malaysia
title_full	Investor sentiment, risk factors and asset pricing : Evidence from Malaysia
title_fullStr	Investor sentiment, risk factors and asset pricing : Evidence from Malaysia
title_full_unstemmed	Investor sentiment, risk factors and asset pricing : Evidence from Malaysia
title_sort	investor sentiment, risk factors and asset pricing : evidence from malaysia
granting_institution	Universiti Malaysia Sarawak
granting_department	Faculty of Economics and Business.
publishDate	2016
url	http://ir.unimas.my/id/eprint/20922/1/Gunathilaka.pdf
_version_	1783728206384201728

Investor sentiment, risk factors and asset pricing : Evidence from Malaysia

Similar Items