دانلود رایگان مقاله مقایسه احساسات سرمایه گذاران و اثر صرف ریسک بر ارزش گذاری سهام

abstract

This paper investigates at what extent deviations between market share prices and their fundamental values can be explained by risk premium and/or investors’ sentiment effects. This is done based on recent panel data econometric techniques controlling for the effects of unobserved common factors on our estimation and inference procedures. To calculate the fundamental values of the shares, the paper relies on book value and yearly earnings forecasts of the listed companies, over the period 1987–2012. The results of the paper indicate that share price deviations from their fundamental values can be explained by both risk premium and sentiment effects. The latter lead to overvaluation of market share prices during normal market time times. In contrast, during periods of financial crises, share prices tend to reverse to their fundamental values. The unobserved common factors identified by fitting our model into the data do not add too much to the explanatory power of it, compared to the observed economic variables often used in the literature to capture the sentiment and/or risk premium effects.

4. Conclusions

Based on a share valuation model which relies on analysts’ earnings forecasts and book values, this paper shows that deviations of the market share prices from their fundamental values can be explained both by risk premium and/or investors’ sentiment effects. The paper provides clear cut evidence that positive sentiment effects (due, for instance, to investors’ optimism) lead to overvaluation of the current market share prices, compared to their fundamental values. On the other hand, sentiment effects occurring in periods of financial crisis, often associated with collapsing bubbles, lead to share price corrections to their fundamental values. Regarding the risk premium effects, the results of the paper show that these can be captured by firm specific variables, like the book-to-market and dividend–price ratios, and macroeconomic variables, like the spread between long and short term government yields, the change of the three month T-bill rate and the effective real exchange rate.