Psychological Factors in CAPM Models : A Multivariate Approach with Robust Estimators
Claudio Boido, Antonio Fasano · Use Siena air (University of Siena) · 2012
Finance theory asserts that a shock price reects the funda-mental value of stock. When the price changes, rational arbi-trageurs absorb these shocks and therefore stock price stays at the fundamental level. Sometimes for some types of stock, noise traders could be an in uence on the stock price.To asses business and consumer condence we use the European Sentiment Indicator (ESI) and its constituents at Italian level. We test empirically the impact of psychological fac- tors on stock returns by means of heteroscedasticity-consistent estimators.