Impact of sentimental factors on stock portfolio returns an empirical analysis

Title

Impact of sentimental factors on stock portfolio returns an empirical analysis

Creator

Kumar R.; K S S.

Description

This study aims to introduce an integrated model for understanding the influence of various sentimental factors in conjunction with macroeconomic factors on portfolio returns across ten industry sectors within the US market. These sentimental factors are categorized into market-wide, consumer, and individual stock market factors to assess their impact on industry portfolio returns. Employing the Autoregressive Distributed Lag (ARDL) model, the study evaluates the effects of macroeconomic and sentimental factors on stock market portfolio returns. The findings reveal a negative relationship between short-term interest rates and portfolio returns in specific industry sectors like manufacturing, telecom, and wholesale/retail. The study finds a positive relationship between the Hi-tech sector's risk spread and portfolio returns. Market sentimental factors positively influence portfolio returns of durable, non-durable, utility, and other sectors. Individual sentimental factors negatively impact portfolio returns in hi-tech, utility, durable, energy, and other sectors. The stock market-related individual, sentimental factor of the number of IPOs has a positive impact on portfolio returns in the energy sector and a negative impact on portfolio returns in other sectors. Consumer sentimental factors are significant positive determinants for portfolio returns in durable, energy, telecom, health, and other sectors. Discounts on closed-end funds may provide vital fundamental information regarding lower future earnings for stocks in the durable and energy sectors. The study provides valuable insights for investors to optimize their portfolio strategies in response to macroeconomic and sentimental factors within specific industry sectors. 2024 The Authors

Source

Heliyon, Vol-10, No. 9

Date

2024-01-01

Publisher

Elsevier Ltd

Subject

Consumer sentimental factors; FF factors; Market sentimental factors; Portfolio returns; Stock market sentimental factors

Coverage

Kumar R., Institute of Management Technology, Dubai, United Arab Emirates; K S S., School of Business and Management, Christ University, India

Rights

All Open Access; Gold Open Access; Green Open Access

Relation

ISSN: 24058440

Format

Online

Language

English

Type

Article

Identifier

https://doi.org/10.1016/j.heliyon.2024.e30217

https://www.scopus.com/inward/record.uri?eid=2-s2.0-85191987703&doi=10.1016%2fj.heliyon.2024.e30217&partnerID=40&md5=b95d596017def09e7cd0ac4e546944e2