The role of sentiment in global risk premia

Karl Ludwig Keiber and Helene Samyschew

Applied Economics, 2015, vol. 47, issue 20, 2073-2091

Abstract: This article examines the role of sentiment for global risk premia. We analyse whether the global risk premia on macroeconomic fundamentals can be estimated more thoroughly if sentiment is included as additional conditioning information. The analysis is performed in the framework of a conditional multiple beta pricing model. The focus of analysis is the asset excess returns of the G-7 stock markets in the period from February 1999 to February 2012. The obtained results indicate that sentiment as conditioning information is able to contribute to the explanation of the general macroeconomic risk premia.

Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2014.1002887 (text/html)
Access to full text is restricted to subscribers.

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:taf:applec:v:47:y:2015:i:20:p:2073-2091

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2014.1002887

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().