Essays on investor sentiment in asset pricing

• Main Author: CHU, Liya
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2017
• Subjects: investor sentiment; return predictability; fundamental predictors; behavioral bias; risk-return relation; Corporate Finance; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/etd_coll_all/32; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1022&context=etd_coll_all
• Institution: Singapore Management University

The dissertation addresses three topics on investor sentiment in asset pricing. The first essay investigates the impact of market sentiment on the recent debate on equity premium forecasting. Particularly, market sentiment may break the link between fundamental economic predictors and equity premium...