IDEAS home Printed from https://ideas.repec.org/a/ids/afasfa/v8y2018i1p48-64.html
   My bibliography  Save this article

Investor sentiment and asset returns: the case of Indian stock market

Author

Listed:
  • Sachin Mathur
  • Anupam Rastogi

Abstract

According to behavioural finance theory, investor sentiment can lead to extreme mispricing of stocks. In this paper we describe the construction of an investor sentiment index for India, an emerging market, to examine the association between sentiment and stock returns. We test whether the sentiment index predicts long-term returns of the stock market, as well as of stock portfolios formed on the basis of size and value characteristics, over the sample period of 2004 to 2016. The sentiment index fails to predict broad market returns, but is inversely associated with the subsequent year's returns of small low-priced stocks, consistent with constrained arbitrage argument of behavioural finance theory and information uncertainty associated with such stocks.

Suggested Citation

  • Sachin Mathur & Anupam Rastogi, 2018. "Investor sentiment and asset returns: the case of Indian stock market," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 8(1), pages 48-64.
    • Handle: RePEc:ids:afasfa:v:8:y:2018:i:1:p:48-64
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=89198
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Sourav Prasad & Sabyasachi Mohapatra & Molla Ramizur Rahman & Amit Puniyani, 2022. "Investor Sentiment Index: A Systematic Review," IJFS, MDPI, vol. 11(1), pages 1-27, December.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:afasfa:v:8:y:2018:i:1:p:48-64. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=214 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.