Two-period trading sentiment asset pricing model with information

doi:10.1016/j.econmod.2013.09.018

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	Two-period trading sentiment asset pricing model with information
	Yang, Chunpeng ; Li, Jinfang
	2014-01
发表期刊	ECONOMIC MODELLING
卷号	36 页码:1-7
摘要	We present a dynamic asset pricing model with investor sentiment and information, which shows that the investor sentiment plays a systematic and important role in the asset prices and the information is gradually incorporated into prices. The model has an analytical solution to the sentiment equilibrium price. We find that sentiment trading quantity not only increases the market liquidity, but also causes the asset prices' overreaction if the intensity of sentiment demand is more than a constant value. Therefore, the continuing overreactions result in a short-term momentum and a long-term reversal. The model could offer a partial explanation to some financial anomalies such as price bubbles, high volatility, asset prices' overreaction and so on. (C) 2013 Elsevier B.V. All rights reserved.
关键词	Investor sentiment Dynamic asset pricing Overreaction
DOI	10.1016/j.econmod.2013.09.018
收录类别	SSCI ; SCOPUS
ISSN	0264-9993
语种	英语
WOS研究方向	Business & Economics
WOS类目	Economics
WOS记录号	WOS:000329887800001
出版者	ELSEVIER SCIENCE BV
原始文献类型	Article
EISSN	1873-6122
引用统计	被引频次：14[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	http://ir.lzufe.edu.cn/handle/39EH0E1M/13709
专题	兰州财经大学
作者单位	1.S China Univ Technol, Sch Econ & Commerce, Guangzhou 510006, Guangdong, Peoples R China; 2.Lanzhou Univ Finance & Econ, Sch Stat, Lanzhou 730020, Peoples R China
推荐引用方式 GB/T 7714	Yang, Chunpeng,Li, Jinfang. Two-period trading sentiment asset pricing model with information[J]. ECONOMIC MODELLING,2014,36:1-7.
APA	Yang, Chunpeng,&Li, Jinfang.(2014).Two-period trading sentiment asset pricing model with information.ECONOMIC MODELLING,36,1-7.
MLA	Yang, Chunpeng,et al."Two-period trading sentiment asset pricing model with information".ECONOMIC MODELLING 36(2014):1-7.

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