Empirical examination of an integrative model for asset pricing – evidence from US market

Rajesh Kumar Bhaskaran and Sujit Kovilathumpaday Sukumaran

Review of Behavioral Finance, 2021, vol. 14, issue 5, 612-626

Abstract: Purpose - The current study proposes an integrative framework for examination of determinants of stock returns in US market based on the five-factor Fama and French (FF) model, macroeconomic variables and investor sentimental factors. The study is based on both value weighted and equally weighted monthly portfolio returns of all CRSP firms which are incorporated in the United States and listed on the NYSE, AMEX or NASDAQ. Design/methodology/approach - The study applies PLS-SEM methodology to examine the major determinants of portfolio return. Findings - The study suggests that investor sentiments are the major driving forces which positively influence the portfolio stock returns. The macroeconomic factors, the FF Factors and Momentum factor have negative influences on portfolio stock returns. Originality/value - The study is the first of its kind which aim to determine the determinants of portfolio returns using the PLS-SEM methodology.

Keywords: Portfolio returns; Macroeconomic indicators; FF five-factor model; Sentimental indicators (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eme:rbfpps:rbf-01-2021-0012

DOI: 10.1108/RBF-01-2021-0012

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