کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5054732 1476538 2013 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Sentiment asset pricing model with consumption
ترجمه فارسی عنوان
مدل قیمت دارایی اعتماد با مصرف
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی

We present an asset pricing model by incorporating investor sentiment. The sentiment equilibrium price could be decomposed to the rational term and the sentiment term, and the investor sentiment has a systematic and significant impact on the risky asset price. In the model, the sentiment term has a wealth-weighted average structure and the investor's wealth proportion could amplify the sentiment shock on the asset price. The model could offer a partial explanation of some financial anomalies in the stock market: the phenomenon of savings transfer to the stock market, pricing bubble and high volatility.

► We present an asset pricing model by incorporating investor sentiment. ► The equilibrium price could be decomposed to the rational term and the sentiment term. ► The sentiment term has a wealth-weighted average structure. ► The model could offer a partial explanation of pricing bubble and high volatility.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 30, January 2013, Pages 462-467
نویسندگان
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