Investor sentiment, risk factors and asset pricing : Evidence from Malaysia

This study examines pricing implications of aggregate investor sentiment risk for equity returns, in presence of other market wide risk factors. Effects of Size, Book-to-Market, Illiquidity, Momentum, Human capital, and systematic risk of Capital Assets Pricing Model (CAPM) are analyzed using 72 ris...

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Bibliographic Details
Main Author: Gunathilaka, Ambagahawatte Gedara Chandana.
Format: Thesis
Language:English
Published: unimas 2016
Subjects:
Online Access:http://ir.unimas.my/id/eprint/20922/1/Gunathilaka.pdf
http://ir.unimas.my/id/eprint/20922/
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