Understanding Investor behavior and it's implications on Capital Markets - The Indian Context

Saumitra Bhaduri and Saurabh Gupta

MPRA Paper from University Library of Munich, Germany

Abstract: The paper proposes a dynamic factor model to augment the conventional three factor Fama and French – CAPM, by introducing two distinct latent variables which constitute investor behavior i.e. market sentiment and herding. Our analysis suggests that both factors significantly impact the asset pricing. Also, the herding factor portrays an erratic behavior during the crisis period whereas sentiment remains persistent across time.

Keywords: Sentiment; Herding; Dynamic Factor Model; Capital Asset Pricing Model (search for similar items in EconPapers)
JEL-codes: G1 G11 (search for similar items in EconPapers)
Date: 2015-11-21
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https://mpra.ub.uni-muenchen.de/67948/1/MPRA_paper_67948.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/71540/8/MPRA_paper_71540.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:67948

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