... the model while Section 3 summarizes data and descriptive statistics. Section 4 describes the methodology and Section 5 reports the estimation results. Section 6 concludes. Investor sentiment VAR model Smart beta funds Smart beta funds hope to achieve greater than market returns...

... additional variables representing fear induced by rational expectations and fear due to noise. The authors then estimate a three-vector autoregression (VAR) model to examine their relative impact on S&P 500 returns. Findings Impulse responses generated from a 13-variable VAR model show that investors...

... funds CAPM Investor sentiment Irrational behaviour VAR model G12 G14 C3 The capital asset pricing theory has evolved from purely rational equilibriums toward inclusion of cognitive factors. Academics and practitioners agree that human perceptions and expectations play an important...