Mispricing and the five-factor model under different market sentiments
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Description
A parsimonious two-factor model consisting of the market factor and the mispricing factor (UMO) yields superior performance in explaining average stock returns than the Fama-French five-factor in high-sentiment periods. However, the five-factor model remains a powerful tool in asset pricing during low-sentiment periods. This is due to the relative importance of risk and mispricing in determining stock prices over different sentiment regimes. Thus, market sentiment should be considered when choosing pricing models.
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| ID Code: | 201862 | ||||
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| Item Type: | Contribution to Journal (Journal Article) | ||||
| Refereed: | Yes | ||||
| ORCID iD: |
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| Measurements or Duration: | 6 pages | ||||
| Keywords: | Asset pricing, Mispricing, Risk factors, Investor sentiment, Fama and French five factor model, Underpriced-minus-overpriced, UMO factor, Sentiment analysis, Finance, Corporate finance, Financial market, International finance | ||||
| DOI: | 10.1016/j.heliyon.2020.e04191 | ||||
| ISSN: | 2405-8440 | ||||
| Pure ID: | 62775804 | ||||
| Divisions: | Past > QUT Faculties & Divisions > QUT Business School Current > Schools > School of Economics & Finance |
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| Copyright Owner: | 2020 The Author(s) | ||||
| Copyright Statement: | This work is covered by copyright. Unless the document is being made available under a Creative Commons Licence, you must assume that re-use is limited to personal use and that permission from the copyright owner must be obtained for all other uses. If the document is available under a Creative Commons License (or other specified license) then refer to the Licence for details of permitted re-use. It is a condition of access that users recognise and abide by the legal requirements associated with these rights. If you believe that this work infringes copyright please provide details by email to qut.copyright@qut.edu.au | ||||
| Deposited On: | 10 Jul 2020 02:29 | ||||
| Last Modified: | 03 Mar 2024 06:07 |
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