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AFRE Accounting Financial Review
Published by Universitas Merdeka Malang
ISSN : 25987763     EISSN : 25987771     DOI : https://doi.org/10.26905/afr
Core Subject : Economy,
Economics, Econometrics & Finance
Accounting and Financial Review (AFRe), is a publication of Graduate School Program, University of Merdeka Malang. The journal is an article published continuously which is intended not only as a place to share ideas, study, and analysis but also as an information channel to improve and develop accounting and finance science. This publication consists of scientific writings in the form of research finding, analysis, and application theory, conceptual idea, new book review, bibliography, practical writing from experts, academics, and practitioners. The published writings have been in the process of editing needed by the publisher without changing the substance as the original script. The writing in each publication is the personal responsibility of the author and it does not reflect the publisher’s idea.
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Search results for , issue "Vol. 5 No. 3 (2022)" : 1 Documents clear
Value Risk Premium, Investor Sentiment and Stock Returns in Kenya. Mugenda, Nebat Galo; Olweny, Tobias; Wepukhulu, Joshua M
AFRE (Accounting and Financial Review) Vol. 5 No. 3 (2022)
Publisher : Postgraduate Program Merdeka University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26905/afr.v5i3.6637

Abstract

AbstractThis study sought to investigate the role of investor sentiment in the relationship between value risk premium and stock returns in Kenya, controlling for effect of market, size, profitability and asset growth. The variables were anchored on postulations in the Dividend Valuation Model. The study utilized monthly time series data on 60 firms listed at the NSE from 2011-2019. The result of ADF and P-P tests indicated a mix of variables stationary at level and 1st difference. The F-bounds cointegration test revealed long-run relationship among variables thus requiring estimation of both ARDL and VEC models. Results show weak evidence for existence of value risk premium at the NSE using the main effects model. The pricing effect of value risk premium is however enhanced in the interaction model. The interaction though not significant implying that there is no moderating effect of sentiment. Investors can therefore strategically build up their portfolios to allocate more funds to high book-to-market equity stocks and earn relatively high returns regardless of the market condition. The study further recommends a pricing model that incorporates investor sentiment as additional source of systematic risk in cost of capital decisions at the NSE.DOI: https://doi.org/10.26905/afr.v5i3.6637

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