Munich Personal RePEc Archive

Understanding Investor behavior and it's implications on Capital Markets - The Indian Context

Bhaduri, Saumitra and Gupta, Saurabh (2015): Understanding Investor behavior and it's implications on Capital Markets - The Indian Context.

WarningThere is a more recent version of this item available.
[img]
Preview
PDF
MPRA_paper_67948.pdf

Download (495kB) | Preview

Abstract

The paper proposes a dynamic factor model to augment the conventional three factor Fama and French – CAPM, by introducing two distinct latent variables which constitute investor behavior i.e. market sentiment and herding. Our analysis suggests that both factors significantly impact the asset pricing. Also, the herding factor portrays an erratic behavior during the crisis period whereas sentiment remains persistent across time.

Available Versions of this Item

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.