IDEAS home Printed from https://ideas.repec.org/a/sae/sagope/v11y2021i2p21582440211027846.html
   My bibliography  Save this article

Investor Sentiments and Fama–French Five-Factor Premia

Author

Listed:
  • Ume Habibah
  • Mujeeb-u-Rehman Bhayo
  • Muhammad Shahid Iqbal

Abstract

This study provides new insights to predict the excess return of a security. As if factor premia are getting influenced by the sentiments that means sentiments are ultimately affecting the excess return of a security. To meet the objective, a composite index developed by Baker and Wurgler is used as sentiment proxy. Monthly data are used from July 1965 to September 2015 in U.S. context. Granger casualty, Vector Autoregression (VAR), and Fama–Macbeth regression are applied to get the results. Results show that investor sentiments significantly drive the Fama factors’ premia: size premium and profitability premium. Sentiments also contain some information to explain the investment premia but fail to explain the market risk premium and value premium. Furthermore, results suggest that sentiments increase the explanatory power of model measured by R square. In short, this study suggests that investor sentiments play a role in explaining the Fama–French five-factor premia.

Suggested Citation

  • Ume Habibah & Mujeeb-u-Rehman Bhayo & Muhammad Shahid Iqbal, 2021. "Investor Sentiments and Fama–French Five-Factor Premia," SAGE Open, , vol. 11(2), pages 21582440211, June.
    • Handle: RePEc:sae:sagope:v:11:y:2021:i:2:p:21582440211027846
    DOI: 10.1177/21582440211027846
    as

    Download full text from publisher

    File URL: https://journals.sagepub.com/doi/10.1177/21582440211027846
    Download Restriction: no
    File URL: https://libkey.io/10.1177/21582440211027846?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Frances J. Milliken & Elizabeth W. Morrison & Patricia F. Hewlin, 2003. "An Exploratory Study of Employee Silence: Issues that Employees Don’t Communicate Upward and Why," Journal of Management Studies, Wiley Blackwell, vol. 40(6), pages 1453-1476, September.
    2. Venkataramani, Vijaya & Zhou, Le & Wang, Mo & Liao, Hui & Shi, Junqi, 2016. "Social networks and employee voice: The influence of team members’ and team leaders’ social network positions on employee voice," Organizational Behavior and Human Decision Processes, Elsevier, vol. 132(C), pages 37-48.
    3. Marc Ohana, 2016. "Voice, Affective Commitment and Citizenship Behavior in Teams: The Moderating Role of Neuroticism and Intrinsic Motivation," Post-Print hal-02390180, HAL.
    4. Jonathon Halbesleben & Jean-Pierre Neveu & Samantha Paustian-Underdahl & Mina Westman, 2014. "Getting to the “COR”: Understanding the Role of Resources in Conservation of Resources Theory," Post-Print hal-02049109, HAL.
    5. Michael Barry & Adrian Wilkinson, 2016. "Pro-Social or Pro-Management? A Critique of the Conception of Employee Voice as a Pro-Social Behaviour within Organizational Behaviour," British Journal of Industrial Relations, London School of Economics, vol. 54(2), pages 261-284, June.
    6. Kremer, Hannah & Villamor, Isabel & Aguinis, Herman, 2019. "Innovation leadership: Best-practice recommendations for promoting employee creativity, voice, and knowledge sharing," Business Horizons, Elsevier, vol. 62(1), pages 65-74.
    7. Zhenxing Gong & Jie Yang & Faheem Gul Gilal & Lyn M. Van Swol & Kui Yin, 2020. "Repairing Police Psychological Safety: The Role of Career Adaptability, Feedback Environment, and Goal-Self Concordance Based on the Conservation of Resources Theory," SAGE Open, , vol. 10(2), pages 21582440209, May.
    8. Preston, Mark S., 2013. "Advancing case manager motivation in child welfare: Job control's curvilinear relationship and instrumental feedback's moderating influence," Children and Youth Services Review, Elsevier, vol. 35(12), pages 2003-2012.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Xia Tiantian & Zhang Zhenduo & Xiao Huan & Xiu Jing & Jia Wentong, 2021. "The Curvilinear Relationship Between Job Control and Voice: Role of Emotional Resistance to Change and Supervisor Developmental Feedback," SAGE Open, , vol. 11(2), pages 21582440211, June.
    2. Thomas W. H. Ng & Lorenzo Lucianetti & Dennis Y. Hsu & Frederick H. K. Yim & Kelly L. Sorensen, 2021. "You Speak, I Speak: The Social‐Cognitive Mechanisms of Voice Contagion," Journal of Management Studies, Wiley Blackwell, vol. 58(6), pages 1569-1608, September.
    3. Giles Hirst & Gillian Yeo & Nicole Celestine & Shen-Yang (Sonya) Lin & Alex Richardson, 2020. "It’s not just action but also about reflection: Taking stock of agency research to develop a future research agenda," Australian Journal of Management, Australian School of Business, vol. 45(3), pages 376-401, August.
    4. James R. Detert & Linda K. Treviño, 2010. "Speaking Up to Higher-Ups: How Supervisors and Skip-Level Leaders Influence Employee Voice," Organization Science, INFORMS, vol. 21(1), pages 249-270, February.
    5. Florian M. Artinger & Sabrina Artinger & Gerd Gigerenzer, 2019. "C. Y. A.: frequency and causes of defensive decisions in public administration," Business Research, Springer;German Academic Association for Business Research, vol. 12(1), pages 9-25, April.
    6. Christopher S. Tuggle & David G. Sirmon & Cameron J. Borgholthaus & Leonard Bierman & A. Erin Bass, 2022. "From Seats at the Table to Voices in the Discussion: Antecedents of Underrepresented Director Participation in Board Meetings," Journal of Management Studies, Wiley Blackwell, vol. 59(5), pages 1253-1283, July.
    7. Alfredo Rodríguez-Muñoz & Gerardo Montes-Maroto & Mirko Antino & Francisco Gil-Rodríguez & Paula Ruíz-Zorrilla, 2021. "Mindful You, Relaxed and Beneficial Me: A Daily Diary Study of Coworker Dyads," Journal of Happiness Studies, Springer, vol. 22(2), pages 767-786, February.
    8. Uju Violet Alola & Simplice A. Asongu & Andrew Adewale Alola, 2019. "Linking supervisor incivility with job embeddedness and cynicism: The mediating role of employee self-efficacy," Working Papers of the African Governance and Development Institute. 19/091, African Governance and Development Institute..
    9. Ghadah Lafi Alharbi & Monira Essa Aloud, 2024. "The effects of knowledge management processes on service sector performance: evidence from Saudi Arabia," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-19, December.
    10. Sabahattin Cetin & Ayhan Karakas, 2021. "Effects of emotional intelligence on knowledge sharing among employees: A study of HoReCa companies in Turkey," Upravlenets, Ural State University of Economics, vol. 12(3), pages 44-55, July.
    11. Xue Tong Dong & Yang Woon Chung & Jeong Kwon Yun, 2023. "The Mediating Effects of Anxiety and Happiness and the Moderating Effect of Social Network Services for Employee Silence and Psychological Withdrawal Behavior," SAGE Open, , vol. 13(4), pages 21582440231, November.
    12. Emilie Hennequin, 2023. "Whistleblowing as a Career Crisis: Recovering from Retaliatory Job Loss through a Process of Bifurcation," Work, Employment & Society, British Sociological Association, vol. 37(2), pages 545-562, April.
    13. Ryan W. Quinn & Monica C. Worline, 2008. "Enabling Courageous Collective Action: Conversations from United Airlines Flight 93," Organization Science, INFORMS, vol. 19(4), pages 497-516, August.
    14. Jinan Fattah & Mehmet Yesiltas & Tarik Atan, 2022. "The Impact of Knowledge Sharing and Participative Decision-Making on Employee Turnover Intention: The Mediating Role of Perceived Organizational Support," SAGE Open, , vol. 12(4), pages 21582440221, October.
    15. Dimitrova, Mihaela & Chia, Sherwin Ignatius & Shaffer, Margaret A. & Tay-Lee, Cheryl, 2020. "Forgotten travelers: Adjustment and career implications of international business travel for expatriates," Journal of International Management, Elsevier, vol. 26(1).
    16. Hampson, Daniel P. & Gong, Shiyang & Xie, Yi, 2021. "How consumer confidence affects price conscious behavior: The roles of financial vulnerability and locus of control," Journal of Business Research, Elsevier, vol. 132(C), pages 693-704.
    17. Ki-Seoung Lee & Yoon-Seo Kim & Hyoung-Chul Shin, 2023. "Effect of Hotel Employees’ Organizational Politics Perception on Organizational Silence, Organizational Cynicism, and Innovation Resistance," Sustainability, MDPI, vol. 15(5), pages 1-12, March.
    18. Rizova, Polly S. & Gupta, Samir & Maltz, Elliot N. & Walker, Robert W., 2018. "Overcoming equivocality on projects in the fuzzy front end: Bringing social networks back in," Technovation, Elsevier, vol. 78(C), pages 40-55.
    19. Dr. Edwinah, Amah & Dr. Joy Adanma Mekuri-Ndimele, 2021. "Inclusive Human Resource Management (IHRM) and Innovative Work Behaviour in Telecommunication Industry in Rivers State," Noble International Journal of Business and Management Research, Noble Academic Publsiher, vol. 5(2), pages 46-54, February.
    20. Chin-Yi Shu & Nguyen Thi Nhu Quynh, 2015. "Guan-Xi, Loyalty, Contribution And ‘Speak-Up Behavior: The Role of Leader-Member Exchange (LMX) as Mediator and Political Skill as Moderator," Eurasian Journal of Business and Management, Eurasian Publications, vol. 3(2), pages 54-73.

    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:sae:sagope:v:11:y:2021:i:2:p:21582440211027846. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: SAGE Publications (email available below). General contact details of provider: .

    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.