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Essays On Investor Sentiment In Asset Pricing, Liya Chu
Essays On Investor Sentiment In Asset Pricing, Liya Chu
Dissertations and Theses Collection
The dissertation addresses three topics on investor sentiment in asset pricing.
The first essay investigates the impact of market sentiment on the recent debate on equity premium forecasting. Particularly, market sentiment may break the link between fundamental economic predictors and equity premium. We find that economic predictors tend to lose their power and various remedies proposed in recent studies, such as non-negativity constraints, no longer work during high sentiment periods. In contrast, economic predictors actually do have strong performances even without using any such remedies, as long as the sentiment stays low enough so as not to distort the link. …