Asymmetric effect of FEARS Sentiment on Stock Returns: Short-sale constraints, limits to arbitrage, and behavioural biases. Issue 11 (2nd September 2022)

• Record Type: Journal Article
• Authors: Goel, Garima; Dash, Saumya Ranjan; Brooks, Robert; Subramaniam, Sowmya
• Is Part Of: Emerging markets finance & trade. Volume 58:Issue 11(2022)
• Page Start: 3119
• Page End: 3135
• Publication Date: 2022-09-02
• Subjects: FEARS sentiment -- stock returns -- short-sale constraints -- limits to arbitrage; E44 -- G41; Balkan Peninsula -- Commerce -- Periodicals; Balkan Peninsula -- Foreign economic relations -- Periodicals; Europe, Central -- Commerce -- Periodicals; Europe, Central -- Foreign economic relations -- Periodicals; Europe, Eastern -- Commerce -- Periodicals; Europe, Eastern -- Foreign economic relations -- Periodicals; Turkey -- Commerce -- Periodicals; Turkey -- Foreign economic relations -- Periodicals; Asia -- Commerce -- Periodicals; Asia -- Foreign economic relations -- Periodicals; Eurasia -- Commerce -- Periodicals; Eurasia -- Foreign economic relations -- Periodicals; 382.05
• DOI: 10.1080/1540496X.2022.2028618
• Languages: English
• ISSNs: 1540-496X

Abstract

ABSTRACT: This paper examines the implications of short-sale constraints, limits to arbitrage, and behavioral biases on the FEARS sentiment and stock returns asymmetric relationship. Our results indicate a strong negative relationship between FEARS sentiment and stock return. Our findings show that short-sell and arbitrage constraint attenuates the potential impact of sentiment on return behavior. We find that the FEARS sentiment influences behavioral biases and the trading activity of market participants.