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Empirical research based on the four - factor model of investor sentiment

Author: XuJing
Tutor: YangChunPeng
School: Qingdao University
Course: Finance
Keywords: FF three-factor model four-factor model investor sentiment company characteristic variables
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 49
Quote: 0
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Abstract


With the development of behavioral finance, traditional finance theory can not explain many market anomalies and investor deviant behavior. Particularly in asset pricing, many scholars believe that investors are limited rational. The exit of emotion and cognitive bias can not help people achieve rational expectation and utility maximization. The limited rational behavior can lead market not effective and the price of assets deviate from internal value. In other words, the price of asset is not only determined by the internal value, but also by the psychology of the investors. Therefore, the research of the investor sentiment on the stock is necessary.The purpose of this article is whether investor sentiment affects stocks and which stock can be more easily affected. The paper uses the three-factor model augmented by a investor sentiment indicator to do empirical study. That is to say, this article does research about the relationship between the returns of stocks and the market excess yied、the company size、the book-market value and investor sentiment. Finally, the conclusion of this article is that investor sentiment significantly affects the cross section income of the Shenzhen A shares, but for different financial characteristics, firm characteristics of different markets, investor sentiment index affects the cross-section income of stocks on different degree; we find that the more small companies, the more vulnerable to emotional effects.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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