Sentiment Risk Premia in the Cross-Section of Global Equity
Series
School of Finance Working Paper Series
Type
working paper
Author(s)
Abstract
This paper introduces a new sentiment-augmented asset pricing model in order to provide a comprehensive understanding of the role of this new type of risk factors. We find that news and social media search-based indicators are significantly related to excess returns of international equity indices. Adding sentiment factors to both classical and more recent pricing models leads to a significant increase in model performance. Following the Fama-MacBeth procedure, our modified pricing model obtains positive estimates of the risk premium for positive sentiment, while being negative for negative sentiment. Our results contribute to the explanation of global cross-sectional average excess returns.
Language
English
Keywords
Asset pricing
behavioral finance
investor sentiment
sentiment risk premium.
HSG Classification
contribution to scientific community
HSG Profile Area
SOF - System-wide Risk in the Financial System
Publisher
SoF-HSG
Publisher place
St.Gallen
Volume
2019/13
Number
13
Pages
72
Subject(s)
Contact Email Address
roland.fuess@unisg.ch
Eprints ID
260283
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Name
19_03_Fuess et al_Sentiment Risk Premian in the Cross-Section of Global Equity.pdf
Size
1.86 MB
Format
Adobe PDF
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