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Sense and sentiment: a behavioural approach to risk premium modelling
Spanish Journal of Finance and Accounting / Revista Española de Financiación y Contabilidad ( IF 1.615 ) Pub Date : 2019-07-02 , DOI: 10.1080/02102412.2019.1622067
Juan José García Petit 1 , Antonio Rúa Vieites 2 , Esther Vaquero Lafuente 3
Affiliation  

ABSTRACT Estimates of risk premium derived from classical financial theory have consistently shown deviations from the observed levels. These limitations have been linked to the rational foundations of these theories that rely on asset prices as the main information source. This article focuses on the need to increase the information available through the consideration of behavioural factors. Therefore, the paper proposes an alternative methodology to estimate the risk premium incorporating investor sentiment as a source of additional information. This model is tested on the US market with the objective of obtaining a more accurate measure of the risk premium that the one provided by classical financial approaches. It also offers an alternative explanation to risk–return relationship based on investment sentiment. Finally, the use of behavioural approaches to the treatment of the risk premium will favour the control of market anomalies such as the momentum effect.

中文翻译:

理性与情感:风险溢价建模的行为方法

摘要从经典金融理论得出的风险溢价估算值始终显示出与观察水平的偏差。这些局限性与这些理论的合理基础有关,这些理论依赖资产价格作为主要信息来源。本文重点关注通过考虑行为因素来增加可用信息的需求。因此,本文提出了一种替代方法来估算风险溢价,该风险溢价结合了投资者的情绪作为其他信息的来源。该模型在美国市场上进行了测试,目的是获得比传统金融方法更准确地衡量风险溢价的方法。它还提供了对风险的另一种解释-基于投资情绪的回报关系。最后,
更新日期:2019-07-02
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