کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5054732 | 1476538 | 2013 | 6 صفحه PDF | دانلود رایگان |
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.
⺠We present an asset pricing model by incorporating investor sentiment. ⺠The equilibrium price could be decomposed to the rational term and the sentiment term. ⺠The sentiment term has a wealth-weighted average structure. ⺠The model could offer a partial explanation of pricing bubble and high volatility.
Journal: Economic Modelling - Volume 30, January 2013, Pages 462-467