Asset Pricing when Market Sentiments Regulate Asset-Returns: Evidences from Emerging Markets

Debasish Majumder

Journal of Quantitative Economics, 2011, vol. 9, issue 1, 89-117

Abstract: After 2003, the growth of equity prices in emerging markets in Asia, Latin America and Europe has been considerably higher in comparison with developed markets and, therefore, these markets have become the focus of attention of investors, the financial press, and researchers. These markets are needed to be studied separately because features of these markets are different from a developed market: on the one hand, they are hypersensitive to investors' sentiments and, on the other, equity returns are predictable by past observations. Unfortunately, common asset pricing models cannot explain such predictability in stock returns. The factor which is responsible for such predictability and hence the nonrandom behavior of the stock return can be accounted for in an asset pricing model. Based on this observation, the present paper proposes a generalization of the conventional asset pricing model. However, the framework would be applicable to all types of markets ranging from strictly efficient to inefficient.

Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.jqe.co.in/journals/JQE_v9_n1_2011_p6.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jqe:jqenew:v:9:y:2011:i:1:p:89-117

Ordering information: This journal article can be ordered from
Managing Editor, Journal of Quantitative Economics, Indira Gandhi Institute of Development Research (IGIDR), Gen. A.K. Vaidya Marg, Goregaon (E), Mumbai 400 065 , INDIA
http://www.jqe.co.in/

Access Statistics for this article

Journal of Quantitative Economics is currently edited by A. L. Nagar (Editor-in-Chief), D. M. Nachane (Managing-Editor) and G. Mythili (Joint Managing Editor)

More articles in Journal of Quantitative Economics from The Indian Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by D. M. Nachane () and ().