We analyse the relationship between large cap returns and sentiment indexes, using a Capital Asset Pricing Model (CAPM) framework. We try to provide a better explanation of asset prices and their deviations from standard theories by means of sentiment indicators, assuming the latter being measures of the very inclination to speculate. Therefore, when sentiment is high, investor demand for speculative investment is high; conversely when it is low, investor demand for speculative in- vestments is low. Unlike other studies, based on proxies, we use the European Sentiment Indicator and its constituents, based on direct surveys, to assess business and consumer confidence.

Boido, C., Fasano, A. (2014). CAPM with sentiment: The Efficient Market Hypothesis Spiced up with Sentiment. In CAPM with Sentiment: the efficient market hypothesis spiced up with sentiment [10.2139/ssrn.2550669].

CAPM with sentiment: The Efficient Market Hypothesis Spiced up with Sentiment

Claudio Boido;Antonio Fasano
2014-01-01

Abstract

We analyse the relationship between large cap returns and sentiment indexes, using a Capital Asset Pricing Model (CAPM) framework. We try to provide a better explanation of asset prices and their deviations from standard theories by means of sentiment indicators, assuming the latter being measures of the very inclination to speculate. Therefore, when sentiment is high, investor demand for speculative investment is high; conversely when it is low, investor demand for speculative in- vestments is low. Unlike other studies, based on proxies, we use the European Sentiment Indicator and its constituents, based on direct surveys, to assess business and consumer confidence.
2014
Boido, C., Fasano, A. (2014). CAPM with sentiment: The Efficient Market Hypothesis Spiced up with Sentiment. In CAPM with Sentiment: the efficient market hypothesis spiced up with sentiment [10.2139/ssrn.2550669].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11365/1095552