Role Of Behavioural Factors In Asset Pricing: Psychoanalysis Perspective And Evidence From Malaysia

Behavioural finance paradigm argue that behavioural risks are the main driver of stock mispricing that induced stock market inefficiency particularly in emerging Asia and cause unpredicted financial crisis. However, being a new school of thought, the behavioral asset pricing theory and empirical evi...

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Main Author:	Tuyon, Jasman
Format:	Thesis
Language:	English
Published:	2018
Subjects:	BF173-175 Psychoanalysis
Online Access:	http://eprints.usm.my/48700/1/JASMAN%20TUYON_hj.pdf
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id	my-usm-ep.48700
record_format	uketd_dc
spelling	my-usm-ep.487002021-03-26T07:38:14Z Role Of Behavioural Factors In Asset Pricing: Psychoanalysis Perspective And Evidence From Malaysia 2018-09 Tuyon, Jasman BF173-175 Psychoanalysis Behavioural finance paradigm argue that behavioural risks are the main driver of stock mispricing that induced stock market inefficiency particularly in emerging Asia and cause unpredicted financial crisis. However, being a new school of thought, the behavioral asset pricing theory and empirical evidence are still incomplete which represents a nascent research area with a multitude of open questions and research opportunities. Based on philosophical lenses of behavioural finance, this thesis discusses alternative theoretical, model, and new evidence on behavioural asset pricing determinants. First and foremost, the alternative theory and model are established. In theory, the psychoanalysis approach is used as an alternative theoretical basis to understand the rational and irrational human behaviours. In modeling, a quasi-rational multifactor asset pricing determinants is proposed that combined rational and irrational sources of equity risks determinants. Firm (EPS, DY, PE) and economic (CI, LEI, LAI) fundamentals are identified as a source of rational risk. While the irrational forces represented by cognitive heuristics (seasonality), and affective biases due to sentiment (BCS, CSI, FKLI) as well as emotion (VOL). In empirical test, this thesis investigates the equity risk and returns properties using behavioural asset pricing ideology in a factor and style investing framework to acknowledge the heterogeneity of risk-return relationships. The empirical tests are performed based on a sample of 238 Malaysian firm stock returns using the panel regression and quantile panel regression methods with monthly data frequency. 2018-09 Thesis http://eprints.usm.my/48700/ http://eprints.usm.my/48700/1/JASMAN%20TUYON_hj.pdf application/pdf en public phd doctoral Universiti Sains Malaysia Pusat Pengajian Pengurusan
institution	Universiti Sains Malaysia
collection	USM Institutional Repository
language	English
topic	BF173-175 Psychoanalysis
spellingShingle	BF173-175 Psychoanalysis Tuyon, Jasman Role Of Behavioural Factors In Asset Pricing: Psychoanalysis Perspective And Evidence From Malaysia
description	Behavioural finance paradigm argue that behavioural risks are the main driver of stock mispricing that induced stock market inefficiency particularly in emerging Asia and cause unpredicted financial crisis. However, being a new school of thought, the behavioral asset pricing theory and empirical evidence are still incomplete which represents a nascent research area with a multitude of open questions and research opportunities. Based on philosophical lenses of behavioural finance, this thesis discusses alternative theoretical, model, and new evidence on behavioural asset pricing determinants. First and foremost, the alternative theory and model are established. In theory, the psychoanalysis approach is used as an alternative theoretical basis to understand the rational and irrational human behaviours. In modeling, a quasi-rational multifactor asset pricing determinants is proposed that combined rational and irrational sources of equity risks determinants. Firm (EPS, DY, PE) and economic (CI, LEI, LAI) fundamentals are identified as a source of rational risk. While the irrational forces represented by cognitive heuristics (seasonality), and affective biases due to sentiment (BCS, CSI, FKLI) as well as emotion (VOL). In empirical test, this thesis investigates the equity risk and returns properties using behavioural asset pricing ideology in a factor and style investing framework to acknowledge the heterogeneity of risk-return relationships. The empirical tests are performed based on a sample of 238 Malaysian firm stock returns using the panel regression and quantile panel regression methods with monthly data frequency.
format	Thesis
qualification_name	Doctor of Philosophy (PhD.)
qualification_level	Doctorate
author	Tuyon, Jasman
author_facet	Tuyon, Jasman
author_sort	Tuyon, Jasman
title	Role Of Behavioural Factors In Asset Pricing: Psychoanalysis Perspective And Evidence From Malaysia
title_short	Role Of Behavioural Factors In Asset Pricing: Psychoanalysis Perspective And Evidence From Malaysia
title_full	Role Of Behavioural Factors In Asset Pricing: Psychoanalysis Perspective And Evidence From Malaysia
title_fullStr	Role Of Behavioural Factors In Asset Pricing: Psychoanalysis Perspective And Evidence From Malaysia
title_full_unstemmed	Role Of Behavioural Factors In Asset Pricing: Psychoanalysis Perspective And Evidence From Malaysia
title_sort	role of behavioural factors in asset pricing: psychoanalysis perspective and evidence from malaysia
granting_institution	Universiti Sains Malaysia
granting_department	Pusat Pengajian Pengurusan
publishDate	2018
url	http://eprints.usm.my/48700/1/JASMAN%20TUYON_hj.pdf
_version_	1747821962854400000

Role Of Behavioural Factors In Asset Pricing: Psychoanalysis Perspective And Evidence From Malaysia

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