Investor sentiment, information and asset pricing model

doi:10.1016/j.econmod.2013.07.015

LZUFE-KMS

	Investor sentiment, information and asset pricing model
	Yang, Chunpeng ; Li, Jinfang
	2013-09
发表期刊	ECONOMIC MODELLING
卷号	35 页码:436-442
摘要	We present an asset pricing model with investor sentiment and information, which shows that the investor sentiment has a systematic and significant impact on the asset price. The equilibrium price's rational term drives the asset price to the rational, and the sentiment term leads to the asset price deviating from it. In our model, the proportion of sentiment investors and the information quality could amplify the sentiment shock on the asset price. Finally, the information is fully incorporated into prices when sentiment investors learn from prices. The model could offer a partial explanation of some financial anomalies: price bubbles, high volatility, asset prices' momentum effect and reversal effect. (C) 2013 Elsevier B.V. All rights reserved.
关键词	Investor sentiment Asset pricing model Financial anomalies Market efficiency
DOI	10.1016/j.econmod.2013.07.015
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:000329532100053
出版者	ELSEVIER SCIENCE BV
原始文献类型	Article
EISSN	1873-6122
引用统计	被引频次：33[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/13810
专题	兰州财经大学
作者单位	1.S China Univ Technol, Guangzhou, Peoples R China; 2.Lanzhou Univ Finance & Econ, Lanzhou, Peoples R China
推荐引用方式 GB/T 7714	Yang, Chunpeng,Li, Jinfang. Investor sentiment, information and asset pricing model[J]. ECONOMIC MODELLING,2013,35:436-442.
APA	Yang, Chunpeng,&Li, Jinfang.(2013).Investor sentiment, information and asset pricing model.ECONOMIC MODELLING,35,436-442.
MLA	Yang, Chunpeng,et al."Investor sentiment, information and asset pricing model".ECONOMIC MODELLING 35(2013):436-442.

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