Du, Ding (2011) Value premium and investor sentiment: Working paper series--11-02. Working Paper. NAU W.A. Franke College of Business.
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Abstract
There are two competing explanations for the value premium. One suggests that value premium is a compensation for risk, while the other implies that it is driven by investor sentiment. Previous empirical studies typically test these two competing explanations of value premium in isolation, which may lead to incorrect inferences. In this paper, we extend the literature by testing these two competing explanations of value premium in a joint fashion. We find that while value premium is correlated with investor sentiment, it shows very little correlation with the state of the economy. Based on this evidence, it is very difficult to argue that value premium is due to risk.
| Item Type: | Monograph (Working Paper) |
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| Publisher’s Statement: | Copyright, where appropriate, is held by the author. |
| ID number or DOI: | 11-02 |
| Keywords: | Working paper, value premium, investor sentiment |
| Subjects: | H Social Sciences > HG Finance |
| NAU Depositing Author Academic Status: | Faculty/Staff |
| Department/Unit: | The W.A. Franke College of Business |
| Date Deposited: | 17 Oct 2015 09:48 |
| URI: | http://openknowledge.nau.edu/id/eprint/1485 |
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