IDEAS home Printed from https://ideas.repec.org/a/taf/eurjfi/v25y2019i3p279-302.html
   My bibliography  Save this article

The pricing of sentiment risk in European stock markets

Author

Listed:
  • Karl Ludwig Keiber
  • Helene Samyschew

Abstract

This paper studies whether sentiment is rewarded with a significant risk premium in the European stock markets. We examine several sentiment proxies and identify the Economic Sentiment Indicator from the EU Commission as the most relevant sentiment proxy for our sample. The analysis is performed for the contemporaneous excess returns of EA-11 stock markets in the period from February 1999 to September 2015. We apply a conditional multi-beta pricing model in order to track the variation of the sentiment risk premium over time. The results demonstrate a positive significant relationship between sentiment and contemporaneous excess returns which is consistent with previous studies. The calculated sentiment risk premium is significant as well but negative implying that an investment in EA-11 countries over the examined time period – that is bearing sentiment risk – would have been unattractive to the investors on average.

Suggested Citation

  • Karl Ludwig Keiber & Helene Samyschew, 2019. "The pricing of sentiment risk in European stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 25(3), pages 279-302, February.
    • Handle: RePEc:taf:eurjfi:v:25:y:2019:i:3:p:279-302
    DOI: 10.1080/1351847X.2018.1521340
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1351847X.2018.1521340
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1351847X.2018.1521340?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
    ---><---

    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. Zrinka Lukac & Mirjana Cizmesija, 2021. "(Re)Constructing the European Economic Sentiment Indicator: An Optimization Approach," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 155(3), pages 939-958, June.
    2. Jian Wang & Yanhuang Huang & Hongrui Feng & Jun Yang, 2023. "The effect of customer concentration on stock sentiment risk," Review of Quantitative Finance and Accounting, Springer, vol. 60(2), pages 565-606, February.
    3. Ahmed, Walid M.A., 2020. "Stock market reactions to domestic sentiment: Panel CS-ARDL evidence," Research in International Business and Finance, Elsevier, vol. 54(C).

    More about this item

    Statistics

    Access and download statistics

    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:taf:eurjfi:v:25:y:2019:i:3:p:279-302. 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: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/REJF20 .

    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.